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Published in 2022 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2021.126424
Abstract: Abstract The work presents a methodology to precise simulation and parameter estimation of multidimensional fractional Brownian motion (fBm). The simulation approach uses circulant embedding algorithm and solution of Poisson equation, while generalizing it to multiple…
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Keywords:
methodology;
estimation;
fractional surfaces;
estimation fractional ... See more keywords