Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: hurst lo kpss

Macro: fracbrown
Description: the result*normal(2*p*nu+1) gives a fractional brownian motion with respect to alpha=2*H ( H = Hurst coefficent)

Reference(s):

Usage: (m2)=fracbrown(p,nu,alpha)
Input:
p scalar, temporal scale factor
nu scalar, the resulting matrix is a (2*p*nu+1) matrix
alpha scalar, coefficent of the frac. brownian motion
Output:
m2 (2*p*nu+1)x(2*p*nu+1) matrix

Note:

Example:
func("fracbrown.xpl")	// load macro
func("hurst.xpl")	// load macro
randomize(234)
p=1
nu = 50
alpha = 1.5
// simulate frac. BM
x=fracbrown(p,nu,alpha)*normal(2*p*nu+1)
dim(x)			// 2*p*nu+1
h=hurst(x,12)
2*h.b[2]		// estimated alpha
Result:
Contents of dim
[1,]      101 
Contents of _tmp
[1,]   1.5237 

Library: times
See also: hurst lo kpss

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: W. Härdle, T. Kleinow
(C) MD*TECH Method and Data Technologies, 28.6.1999