| Library: | times |
| See also: | FGNcov fft |
| Quantlet: | FGN | |
| Description: | simulation of a series of fractional Gaussian noise (FGN) (not the standard Gaussian (Brownian) noise) by means of the Davies and Harte algorithm. |
| Usage: | daFGN=FGN(iNN,dH,dVar) | |
| Input: | ||
| iNN | scalar, length of the simulated FGN series | |
| dH | scalar, Hurst coefficient (self similarity parameter) | |
| dVar | scalar, variance scaling parameter of FGN (mean of FGN is 0) | |
| Output: | ||
| daFGN | n x 1 vector of size iNN containing the simulated FGN | |
library("times")
randomize(850)
daFGN=FGN(4.0,.75,1.0)
daFGN
Contents of daFGN [1,] 0.19654 [2,] -1.0063 [3,] -0.097859 [4,] -0.00049242