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Simulation and estimation code for the incremental multifractional Brownian motion (IMFBM) process

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IMFBM

This package is a supplement to the article J. Ślęzak, R. Metzler "Minimal model of diffusion with time changing Hurst exponent". It contains simulation, estimation and visualisation methods for incremental fractional Brownian motion (IMFBM) process. The code was made in Julia language v1.9. The files can be opened in any text editor.

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This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

For GNU General Public License see file LICENSE or http://www.gnu.org/licenses/.

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Simulation and estimation code for the incremental multifractional Brownian motion (IMFBM) process

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