Library: | |
See also: | FGNgk FGNx fft FBMx |
Macro: | FGNx | |
Description: | Simulation of a series of fractional Gaussian noise (not standard fractional Gaussian noise) by a method proposed by Davies and Harte |
Usage: | (FGNx)=FGNx(m,H) | |
Input: | ||
m Length of the generated series, must be a power of 2 | ||
H Hurst Koeffizient as self similarity parameter | ||
Output: | ||
FGNx Vector of size m of the generated series |
x=FGNx(4,.7)
Contents of x [1,] 0.84046 [2,] -0.21559 [3,] -0.21796 [4,] -0.66536
Library: | |
See also: | FGNgk FGNx fft FBMx |