mfbm 0.1.1

Multivariate fractional Brownian motion

Multivariate fractional Brownian motion (mfBm)

This package provides implementation for the multivariate fractional Brownian motion and simple fractional brownian motion with the method described in [1].

Installation

The mfbm package is available on PyPI and can be install via pip with the following command:

pip install mfbm

Example usage

import numpy as np
from mfbm import MFBM

p = 5
H = np.linspace(0.6, 0.9, 5)
n = 100
T = 100

rho = 0.7 * np.ones((p, p))
np.fill_diagonal(rho, 1)

eta = np.ones_like(rho)
sigma = np.ones(len(H))

mfbm = MFBM(H, n, rho, eta, sigma)
ts = mfbm.sample(T)

[1] Andrew T. A. Wood & Grace Chan (1994): Simulation of Stationary Gaussian Processes in [0, 1]^d , Journal of Computational and Graphical Statistics, 3:4, 409-432