fBb 0.1.12

Python Package for Stochastic Interpolation via multipoint fractional Brownian bridges

A python package for stochastic interpolation of sparse or incomplete time series by fractional Brownian motion.

For further references, see: J. Friedrich, S. Gallon, A. Pumir, and R. Grauer, Phys. Rev. Lett. 125, 170602 (2020).

Installation

The fBb package is available on pypi and can be installed using pip

pip install fBb

How to use this package

Stochastic interpolation

To use fBb to interpolate sparse measurement points X_i at times t_i import the multipoint fractional Brownian bridge process with the desired Hurst parameter H and the desired time step dt of the underlying fractional Brownian motion.

from fBb import MFBB

mfbb = MFBB(X_i, t_i, H, dt)
X_bridge = mfbb.bridge()
t_bridge = mfbb.t_fine()

plt.scatter(t_i, X_i)
plt.plot(t_bridge, X_bridge)
plt.show()