# fbm Release 0.3.0

Fractional Brownian motion realizations.

Keywords
fractional-brownian-motion, fractional-gaussian-noise, hurst-parameter, multifractional-brownian-motion, multifractional-gaussian-noise, python
MIT
Install
``` pip install fbm==0.3.0 ```

# fbm

• Exact methods for simulating fractional Brownian motion (fBm) or fractional Gaussian noise (fGn) in python.
• Approximate simulation of multifractional Brownian motion (mBm) or multifractional Gaussian noise (mGn).

## Installation

The fbm package is available on PyPI and can be installed via pip:

```pip install fbm
```

## fractional Brownian motion

Fractional Brownian motion can be generated via either Hosking's method, the Cholesky method, or the Davies-Harte method. All three methods are theoretically exact in generating a discretely sampled fBm/fGn.

Usage:

```from fbm import FBM

f = FBM(n=1024, hurst=0.75, length=1, method='daviesharte')
# or
f = FBM(1024, 0.75)

# Generate a fBm realization
fbm_sample = f.fbm()

# Generate a fGn realization
fgn_sample = f.fgn()

# Get the times associated with the fBm
t_values = f.times()```

where `n` is the number of equispaced increments desired for a fBm with Hurst parameter `hurst` on the interval [0, `length`]. Method can be either `'hosking'`, `'cholesky'`, or `'daviesharte'`. The `fbm()` method returns a length `n+1` array of discrete values for the fBm (includes 0). The `fgn()` method returns a length `n` array of fBm increments, or fGn. The `times()` method returns a length `n+1` array of times corresponding to the fBm realizations.

The `n` and `hurst` parameters are required. The `length` parameter defaults to 1 and `method` defaults to `'daviesharte'`.

For simulating multiple realizations use the FBM class provided as above. Some intermediate values are cached for repeated simulation.

For one-off samples of fBm or fGn there are separate functions available:

```from fbm import fbm, fgn, times

# Generate a fBm realization
fbm_sample = fbm(n=1024, hurst=0.75, length=1, method='daviesharte')

# Generate a fGn realization
fgn_sample = fgn(n=1024, hurst=0.75, length=1, method='daviesharte')

# Get the times associated with the fBm
t_values = times(n=1024, length=1)```

For fastest performance use the Davies and Harte method. Note that the Davies and Harte method can fail if the Hurst parameter `hurst` is close to 1 and there are a small amount of increments `n`. If this occurs, a warning is printed to the console and it will fallback to using Hosking's method to generate the realization. See page 412 of the following paper for a more detailed explanation:

• Wood, Andrew TA, and Grace Chan. "Simulation of stationary Gaussian processes in [0, 1] d." Journal of computational and graphical statistics 3, no. 4 (1994): 409-432.

Hosking's method:

• Hosking, Jonathan RM. "Modeling persistence in hydrological time series using fractional differencing." Water resources research 20, no. 12 (1984): 1898-1908.

Cholesky method:

• Asmussen, Søren. Stochastic simulation with a view towards stochastic processes. University of Aarhus. Centre for Mathematical Physics and Stochastics (MaPhySto)[MPS], 1998.

Davies Harte method:

• Davies, Robert B., and D. S. Harte. "Tests for Hurst effect." Biometrika 74, no. 1 (1987): 95-101.

## multifractional Brownian motion

This package supports approximate generation of multifractional Brownian motion. The current method uses the Riemann–Liouville fractional integral representation of mBm.

Usage:

```import math
from fbm import MBM

# Example Hurst function with respect to time.
def h(t):
return 0.25 * math.sin(20*t) + 0.5

m = MBM(n=1024, hurst=h, length=1, method='riemannliouville')
# or
m = MBM(1024, h)

# Generate a mBm realization
mbm_sample = m.mbm()

# Generate a mGn realization
mgn_sample = m.mgn()

# Get the times associated with the mBm
t_values = m.times()```

The `hurst` argument here should be a callable that accepts one argument and returns a float in (0, 1).

For one-off samples of mBm or mGn there are separate functions available:

```from fbm import mbm, mgn, times

# Define a hurst function
def h(t):
return 0.75 - 0.5 * t

# Generate a mbm realization
mbm_sample = mbm(n=1024, hurst=h, length=1, method='riemannliouville')

# Generate a fGn realization
mgn_sample = mgn(n=1024, hurst=h, length=1, method='riemannliouville')

# Get the times associated with the mBm
t_values = times(n=1024, length=1)```

Riemann-Liouville representation method:

Approximate method originally proposed for fBm in

• Rambaldi, Sandro, and Ombretta Pinazza. "An accurate fractional Brownian motion generator." Physica A: Statistical Mechanics and its Applications 208, no. 1 (1994): 21-30.