collaborators

1 paper

stat.CO2019

A Generalized Correlated Random Walk Converging to Fractional Brownian Motion

Buket Coskun, Ceren Vardar-Acar, Hakan Demirtas

We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having…