A new method for fractional Brownian motion interpolation

This correspondence presents a new method for interpolating long fractional Brownian motion (fBm) sequences called incremental Fourier interpolation ( IFI), Instead of computing the interpolated samples directly, as is the cas e with existing algorithms, IFI computes the first-order increments between the original and interpolated samples. For long sequences, these increment s can be computed using the computationally efficient fast Fourier transfor m, Estimators for the fBm parameters are also incorporated into the algorit hm. Simulations are presented for both known and unknown parameter cases th at demonstrate the accuracy of IFI even for relatively short length sequenc es.