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) |
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 |
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
Contents of dim [1,] 101 Contents of _tmp [1,] 1.5237
Library: | times |
See also: | hurst lo kpss |