fbmSim: Simulate a discrete fractional Brownian motion

In citiususc/fracdet: models 1/f noise + deterministic oscillations

Description

fbmSim simulates a fractional Brownian motion using the Levinson's method.

Usage

fbmSim(n, H)

Arguments

n	Length of the time series.
H	Hurst exponent.

Value

A numeric vector containing the simulated time series.

Note

The code of the fbmSim is largelly based on the implementation provided in the Coeurjolly article (see references).

References

Jean-Francois, Coeurjolly. "Simulation and Identification of the Fractional Brownian Motion: A bibliographical and comparative study." (2007).

Examples

# simulate a dfbm process with H=0.2 and plot it
z = fbmSim(100, 0.2)
ts.plot(z)

citiususc/fracdet documentation built on May 13, 2019, 7:30 p.m.