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:
See also: FGNx

Macro: FGNchol
Description: Simulation of a series standard fractional Brownian Motion by the exact cholesky decomposition

Reference(s):

Usage: (FGNchol)=FGNchol(n,H)
Input:
n length of the series (caution with values greater than 200 due to matrix manipulation)
H self similarity parameter of the generated series
Output:
FGNchol vector of the generated series

Note:

Example:
x=FGNchol(4,.7)
Result:
Contents of x
[1,] -0.75719
[2,] -0.58049
[3,]  -1.4735
[4,]   1.0315

Library:
See also: FGNx

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: Arne Wuensche 000410
(C) MD*TECH Method and Data Technologies, 17.8.2000