XploRe Help : 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

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):

Beran, J. "Statistics for Long Memory Processes", Chapman & Hall 1994 Davies, R.B. and Harte, D.S. "Test for Hurst effect" Biometrica 74, 1987

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:

uses the procedures FGNx and FGNgk

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