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Published in:
2014 | OriginalPaper | Chapter
8. Some Pascal Procedures and Functions
Authors : Corinne Berzin, Alain Latour, José R. León
Published in: Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
Publisher: Springer International Publishing
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Abstract
In this chapter, we give the important Pascal procedures used in the simulation studies: the uniform and the normal generators. These are the basic functions use in the procedure DurbinSim written to simulate a trajectory of a Gaussian stationary process. If the increments are simulated, the function Somme is used to get the trajectory. We also give the procedure Model that control the simulation of the four different models defined by a stochastic differential equation considered in the text.