SimulateFD: Simulates FD

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

A fractional Gaussian noise time series is simulated.

Usage

SimulateFD(n, d)

Arguments

n	length of time series
d	fractional difference parameter

Details

The FFT is used so it is most efficient if you select n to be a power of 2. Note, d=H-1/2.

Value

vector of length containing the simulated time series

Author(s)

A.I. McLeod

References

Davies, R. B. and Harte, D. S. (1987). Tests for Hurst Effect. Biometrika 74, 95–101.

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

SimulateFGN, DLSimulate

Examples

#Example 1
#simulate a process with H=0.2 and plot it
z<-SimulateFD(100, 0.2)
ts.plot(z)

Example output

FGN documentation built on May 30, 2017, 7:19 a.m.