mbmlevinson

Generates a Mutli-fractional Brownian Motion (mBm) using Cholesky/Levinson factorization

Syntax

MBM = mbmlevinson(N,H)
MBM = mBmlevinson(...,'Propertyname',Propertyvalue)

Description

MBM = mbmlevinson(N,H) Generates the multi-fractional brownian motion, MBM, using a sample size, N, and a Holder function, H. This allows to model a process the pointwise regularity of which varies in time. The parameter N is a positive integer.

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

Examples

See Also

mBmQuantifKrigeage, fbmwoodchan, fbmlevinson

References

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