Fast synthesis of persistent fractional Brownian motion

Abstract

Due to the relevance of self-similarity analysis in several research areas, there is an increased interest in methods to generate realizations of self-similar processes, namely in the ones capable of simulating long-range dependence. This article describes a new algorithm to approximate persistent fractional Brownian motions with a predefined Hurst… (More)
DOI: 10.1145/2133390.2133395

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