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: 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

Reference(s):

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

Note:

Example:
x=FGNx(4,.7)
Result:
Contents of x
[1,]  0.84046
[2,] -0.21559
[3,] -0.21796
[4,] -0.66536

Library:
See also: FGNgk FGNx fft FBMx

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