Description Usage Arguments Value Note References Examples
fbmSim
simulates a fractional Brownian motion using the Levinson's
method.
1 | fbmSim(n, H)
|
n |
Length of the time series. |
H |
Hurst exponent. |
A numeric vector containing the simulated time series.
The code of the fbmSim
is largelly based on the implementation
provided in the Coeurjolly article (see references).
Jean-Francois, Coeurjolly. "Simulation and Identification of the Fractional Brownian Motion: A bibliographical and comparative study." (2007).
1 2 3 |
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