Library: | |
See also: | FGNx FGNgk FGNcov fracbrown hurst |
Macro: | FBMx | |
Description: | Calculation of a series of fractional Brownian motion, after a method proposed by Davies and Harte |
Usage: | (FBMx)=FBMx(n,H) | |
Input: | ||
n length of the generated series, must be power of 2 | ||
H Hurst Koeffizient as self similarity parameter | ||
startval Starting Value of the series | ||
Output: | ||
FBMx vector of the generated series |
x=FBMx(4,.7,0)
Contents of x [1,] 0 [2,] 1.407 [3,] 2.2431 [4,] 1.5175
Library: | |
See also: | FGNx FGNgk FGNcov fracbrown hurst |