XploRe Help : FGNchol

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

Macro:		FGNchol
Description:		Simulation of a series standard fractional Brownian Motion by the exact cholesky decomposition

Reference(s):

Beran, J. "Stastitics for Long Memory Processes", Chapman & Hall 1994

Usage:	`(FGNchol)=FGNchol(n,H)`
Input:
	`n length of the series (caution with values greater than`	200 due to matrix manipulation)
	`H self similarity parameter of the generated series`
Output:
	`FGNchol vector of the generated series`

Note:

uses Cholesky Decomposition, generated series is standard (variance=1) fractional Gaussian Noise

Example:

x=FGNchol(4,.7)

Result:

Contents of x
[1,] -0.75719
[2,] -0.58049
[3,]  -1.4735
[4,]   1.0315

Library:
See also:	FGNx

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 Wuensche 000410