/fbm

Fractional Brownian Motion package

Primary LanguageJupyter Notebook

fBm

fBm is a package for generating Fractional Brownian Motion (fBm).

Example

Using the naive method to generate the fBm.

from fbm.sim import naive
import matplotlib.pyplot as plt

size = 1000
fbm_gen = naive.NaiveFBmGenerator()
h05 = fbm_gen.generate_fBm(H=0.5, size=size)
h01 = fbm_gen.generate_fBm(H=0.1, size=size)

plt.plot(range(size), h05, label='H=0.5')
plt.plot(range(size), h01, label='H=0.1')
plt.legend()
plt.show()

fBm simulations

More examples can be found in the notebooks folder.

Package Structure

  • fbm

    • The root package

  • fbm.sim

    • The subpackage that includes all the simulation methods of fbm.
    • Methods at this moment:
      1. naive
      2. cholesky
      3. hosking
      4. davies_harte

  • fbm.testing

    • The subpackgae that includes all the testing methods of the identification of the fbm.
    • Methods at this moment:
      1. Chisquare

  • fbm.utils

    • The submodule that includes some common functions that will be used throughout the package