FracSim: An R Package to Simulate Multifractional Lévy Motions

Abstract

In this article a procedure is proposed to simulate fractional fields, which are non Gaussian counterpart of the fractional Brownian motion. These fields, called real harmonizable (multi)fractional Lvy motions, allow fixing the Hlder exponent at each point. FracSim is an R package developed in R and C language. Parallel computers have been also used.