Library: | |
See also: | FGNx |
Macro: | FGNchol | |
Description: | Simulation of a series standard fractional Brownian Motion by the exact cholesky decomposition |
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 |
x=FGNchol(4,.7)
Contents of x [1,] -0.75719 [2,] -0.58049 [3,] -1.4735 [4,] 1.0315
Library: | |
See also: | FGNx |