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

Quantlet: 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, 21.9.2000