Sofwares/Logiciels

Toolbox for LRD processes
dimanche 14 mars 2010
par Jean-Marc Bardet

Softwares for generating long memory or self-similar processes

- Fractional Brownian motion and fractional Gaussian noises (with circulant matrix procedure, software created by JF Coeufjolly, Université de Grenoble, France) : download
- Fractional Brownian motion and fractional Gaussian noises (with wavelet based procedure, software created by JM Poggi, Université d’Orsay, France) : download
- Gaussian Farima (with circulant matrix procedure, software created by E. Moulines, ENST) : download
- Farima : download
- Stationary Gaussian processes from the formula of its spectral density (using Pacxon procedure, software created by JF Coeufjolly, Université de Grenoble, France) : download
- Rosenblatt processes from wavelet based procedure (see also Abry and Pipiras, 2005) : download
- Rosenblatt processes as a limit of Donsker type theorem (see Taqqu, 1975) : download

Softwares for estimating the memory parameter of a stationary process

Parametric estimators

- Whittle estimator for fractional Gaussian noises (software created by J. Beran) : download
- Whittle estimator for Gaussian FARIMA (software created by E. Moulines) : download

Semi-parametric (adaptive) estimators

- Local Whittle estimator introduced by Robinson, 1995 (software created by E. Moulines, ENST) : download
- Extended Local Whittle estimator introduced by Abadir, Distaso and Giraitis, 2007 : download
- FEXP (global log-periodogram) estimator of Moulines and Soulier, 1998 (software created by E. Moulines, ENST) : download
- Wavelet estimator (software created by P. Abry and D. Veitch, for more details see the homepage of D. Veitch) : download
- Adaptive wavelet estimator from Bardet et al., 2008, procedure : download
- New version (more accurate) of an adaptive wavelet estimator with an adaptive goodness-of-fit test of LRD linear process (from Bardet and Bibi, 2012) : download
- Parametric Whittle estimator obtained from a BIC criterium model selection of fractionally differenced autoregressive models (introduced by Bhansali et al., 2006) : download
- Adaptive local periodogram estimator introduced by Giraitis, L., Robinson, P. and Samarov, A. (2000) : download
- Multidimensional IR statistic + Goodness-of-fit test of LRD + Stationarity test (more details in Bardet and Dola, 2010, 2012) : download

Softwares for estimating the spectral density of a Gaussian process (stationary or having stationary increments) observed at random times

- Non-parametric estimator for stationary Gaussian process based on wavelet analysis introduced in Bardet and Bertrand, 2008 : download
- Non-parametric estimator for Gaussian process having stationary increments based on wavelet analysis introduced in Bardet and Bertrand, 2008 : download

Software for estimating the Hurst function H of a Multifractional Brownian Motion : Quadratic Variation estimator and IR estimator

- Such as in Bardet and Surgailis, 2010 : download


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