Simulation and Statistical Analysis of Multifractional Processes
Simulation of fractional Brownian bridge
Simulation of fractional Brownian motion
Simulation of fractional Gaussian noise
Relative strength index
Simulation of Brownian bridge
Simulation of Brownian motion
Covariance of Gaussian Haar-based multifractional processes
Mean time between crossings
Crossing rate
Estimated crossing times
Empirical covariance function
Excursion area
Simulation of Gaussian Haar-based multifractional processes
Creates objects of class H_LFD
Hierarchical clustering
Statistical estimation of the Hurst function
K-means clustering
Estimation of the local fractal dimension
Longest increasing/decreasing streak
Mean time span of increasing/decreasing streaks
Plot the estimated Hurst functions and local fractal dimension estimat...
Plot the estimated Hurst functions and local fractal dimension estimat...
Plot smoothed Hurst functions in each cluster with cluster centers
Plot smoothed Hurst functions in each cluster with cluster centers
Plot Gaussian Haar-based multifractional processes with their theoreti...
Print method for "hc_hurst" class objects
Print method for "k_hurst" class objects
Rmfrac: Simulation and analysis of multifractional processes
Shiny app to visualise and analyse processes
Estimated sojourn measure
Estimated maximum of a time series
Estimated minimum of a time series
Simulation of several fractional and multifractional processes. Includes Brownian and fractional Brownian motions, bridges and Gaussian Haar-based multifractional processes (GHBMP). Implements the methods from Ayache, Olenko and Samarakoon (2025) <doi:10.48550/arXiv.2503.07286> for simulation of GHBMP. Estimation of Hurst functions and local fractal dimension. Clustering realisations based on the Hurst functions. Several functions to estimate and plot geometric statistics of the processes and time series. Provides a 'shiny' application for interactive use of the functions from the package.