Code for Simulation and Estimation in Various Stochastic Models
Long Range Dependence
- LASS: Local Analysis of Self-Similarity – a collection for the estimation of the Hurst long-range dependence parameter as a function of “time”. Tailored and intendend for the analysis of Internet traffic data.
Note: This code has not been updated recently.
- FFT-sim: FFT-based tools for the efficient simulation of LFSM and FARIMA with stable innovations.
- ffgn.m: An routine for exact and efficient simulation of fGn (fractional Gaussian noise) time series. Hence, exact discretized paths of fBm – fractional Brownian motion – can be generated. The code uses circulant embedding and is written jointly with Yingchun Zhou (Jasmine), firstname.lastname@example.org.
- Hest: Wavelet based tools for the estimation of the Hurst LRD parameter H.
- max spectrum: An estimator for the heavy tail exponent of a distribution based on scaling of block-maxima. Incorporates a method for the automated selection of the extreme cut-off.
Note: Main routine maxss_3.m.
- extremal index: An estimator for the extremal index based on the max spectrum and resampling.
Note: Main routine max_eind_1.m.
- max linear: an R-package for exact conditional sampling from max-linear models courtesy of Yizao Wang.