Description Usage Arguments Author(s) References Examples
fBM
simulates a fractional Brownian motion / bridge of type I or II.
1 |
n |
number of increments in the fractional Brownian motion. |
d |
memory parameter -0.5<d<0.5. Note that |
type |
either |
bridge |
either |
Kai Wenger
Marinucci, D., Robinson, P. M. (1999). Alternative forms of fractional Brownian motion. Journal of statistical planning and inference, 80(1-2), 111 - 122.
Davidson, J., Hashimzade, N. (2009). Type I and type II fractional Brownian motions: A reconsideration. Computational statistics & data analysis, 53(6), 2089-2106.
Bardet, J.-M. et al. (2003): Generators of long-range dependent processes: a survey. Theory and applications of long-range dependence, pp. 579 - 623, Birkhauser Boston.
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