corr_fBM: Construct correlation matrix for FBM
In AIUQ: Ab Initio Uncertainty Quantification
corr_fBM R Documentation
Construct correlation matrix for FBM
Description
Construct correlation matrix for fractional Brownian motion.
Usage
corr_fBM(len_t, H)
Arguments
len_t
number of time steps
H
Hurst parameter, value between 0 and 1
Value
Correlation matrix with dimension len_t-1 by len_t-1.
Author(s)
Yue He [aut],
Xubo Liu [aut],
Mengyang Gu [aut, cre]
Examples
library(AIUQ)
len_t = 50
H = 0.3
m = corr_fBM(len_t=len_t,H=H)
AIUQ documentation built on July 2, 2024, 9:06 a.m.
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| corr_fBM | R Documentation |
Construct correlation matrix for FBM
Description
Construct correlation matrix for fractional Brownian motion.
Usage
corr_fBM(len_t, H)
Arguments
len_t |
number of time steps |
H |
Hurst parameter, value between 0 and 1 |
Value
Correlation matrix with dimension len_t-1 by len_t-1.
Author(s)
Yue He [aut], Xubo Liu [aut], Mengyang Gu [aut, cre]
Examples
library(AIUQ)
len_t = 50
H = 0.3
m = corr_fBM(len_t=len_t,H=H)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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