fbm: Generate a time series of fractional Brownian motion.

Description Usage Arguments Examples

Description

This function generatea a time series of one dimension fractional Brownian motion. adapted from http://www.mathworks.com.au/matlabcentral/fileexchange/38935-fractional-brownian-motion-generator .

Usage

1
  fbm(hurst = 0.7, n = 100)

Arguments

hurst

the hurst index, with the default value 0.71

n

the number of points between 0 and 1 that will be generated, with the default value 100

Examples

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fbm()
plot(fbm())
d <- fbm(hurst=0.2, n=1000)
plot(d)

Example output

Time Series:
Start = c(0, 1) 
End = c(1, 1) 
Frequency = 100 
  [1]  0.061896674  0.122002254  0.144258958  0.163831487  0.173609039
  [6]  0.216699206  0.296438124  0.389691200  0.410227264  0.450093457
 [11]  0.465664125  0.476445757  0.512133141  0.509454173  0.520087745
 [16]  0.491092522  0.483334315  0.482083044  0.417900963  0.385298433
 [21]  0.350119417  0.359094043  0.350266038  0.302472152  0.321030336
 [26]  0.368776857  0.306071396  0.306142911  0.311967003  0.373821483
 [31]  0.351359919  0.310772535  0.344813133  0.347457289  0.330531790
 [36]  0.315587173  0.302244681  0.233013559  0.196431987  0.165762882
 [41]  0.177999935  0.150519133  0.120715341  0.033052355  0.008640467
 [46] -0.045741500 -0.113705698 -0.143205406 -0.179463110 -0.207582302
 [51] -0.319734878 -0.364809847 -0.359750407 -0.446017735 -0.471217434
 [56] -0.509251404 -0.516308692 -0.509941145 -0.534194818 -0.561568421
 [61] -0.534390717 -0.583942124 -0.585191031 -0.575922395 -0.620475815
 [66] -0.621623371 -0.548518170 -0.553626830 -0.613881704 -0.642232521
 [71] -0.625838482 -0.625152764 -0.584602625 -0.625308296 -0.619012471
 [76] -0.620589613 -0.660899978 -0.742398132 -0.762785422 -0.815414433
 [81] -0.808324853 -0.774938778 -0.762716409 -0.715956445 -0.644146181
 [86] -0.598388808 -0.581061316 -0.595782001 -0.570917793 -0.538186285
 [91] -0.555705429 -0.584954443 -0.642633020 -0.680182617 -0.707382642
 [96] -0.760480729 -0.750936768 -0.738150230 -0.663885491 -0.641675581
[101] -0.642741215

somebm documentation built on May 2, 2019, 9:30 a.m.