fbmlevinson

Generates a Fractional Brownian Motion (fBm) using Cholesky/Levinson factorization

Syntax

FBM = fbmlevinson(N,H)
FBM = fbmlevinson(...,'Propertyname',Propertyvalue)

Description

FBM = fbmlevinson(N,H) Generates the fractional brownian motion, FBM, using a sample size, N, and a Holder exponent, H. The parameter N is a positive integer and the parameter H is a real value in (0:1) that governs both the pointwise regularity and the shape around 0 of the power spectrum.

FBM = fbmlevinson(...,'Propertyname',Propertyvalue) Generates the fractional brownian motion, FBM, applying the specified property settings. The property setting can be choosen from the list below :

Examples

See Also

fbmwoodchan, mBmQuantifKrigeage, mbmlevinson

References

[1] N. Levinson "The wiener rms error criterion in filter design and prediction", Journal of Mathematics and Physics, Vol 25 (1947) 261-278.