circFGN: Simulation of a fractional Gaussian noise

In wonsang/wfGn: Estimation of the Hurst Parameter for Contaminated Fractional Gaussian Noises

Description

Generates a sample path of fractional Gaussian noise with scaling coefficient C=1 and Hurst parameter H in (0,1)

Usage

circFGN(n, H, C=1, plot=FALSE)

Arguments

n	sample size
H	Hurst parameter
C	scaling coefficient
plot	plot of the generated sample path

Details

This simulation is achieved by computing the lag difference of a fractional Brownian motion which is generated by the method in the package longmemo.

Value

a vector of length n.

Author(s)

Jan Beran (original) and Wonsang You (fine tuning)

References

Jan Beran (1994) Statistics for Long-Memory Processes, Chapman & Hall.

See Also

perturbFGN, wFGN

Examples

n<-10000; H<-0.2
ts <- circFGN(n,H)

wonsang/wfGn documentation built on May 14, 2019, 9:25 p.m.