Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python
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Updated
May 8, 2021 - Python
Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python
MATLAB Toolbox for estimating nonfractal connectivity and fractal connectivity
A C library to compute self-similar sequences and to estimate the Hurst parameter.
A simple statistical package for estimating the long-term memory of a random variable.
A multifractal model of asset returns, inspired by the 1997 paper by Mandelbrot, Fisher, Calvet.
Fractional Gaussian noise generator implemented in C using GSL
MATLAB program for Detrended Fluctuation Analysis (DFA)
This is basically a package that allows me generate long - term dependent datasets and process them using simple queueing simulation algorithm.
Fractional Brownian Motion crate for Rust. An attempt to keep parity with the Python fpm module.
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