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 FGNgk FGNcov fracbrown hurst

Macro: FBMx
Description: Calculation of a series of fractional Brownian motion, after a method proposed by Davies and Harte

Reference(s):

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

Note:

Example:
x=FBMx(4,.7,0)
Result:
Contents of x
[1,]      0
[2,]  1.407
[3,] 2.2431
[4,] 1.5175

Library:
See also: FGNx FGNgk FGNcov fracbrown hurst

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 Wünsche, 000402
(C) MD*TECH Method and Data Technologies, 17.8.2000