# Sofwares/Logiciels

Toolbox for LRD processes
dimanche 14 mars 2010

### 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
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 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) :

Local Whittle estimator introduced by Robinson, 1995 (software created by E. Moulines, ENST) : 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
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
Multidimensional IR statistic + Goodness-of-fit test of LRD + Stationarity test (more details in Bardet and Dola, 2010, 2012) : download
Semi-parametric estimation for LARCH$(\infty)$ processes with long memory (more details in Bardet, 2022) : 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