msmlevy

Generates a Multistable Levy Motion

Syntax

MSM = msmlevy(N,ALPHA)
MSM = msmlevy(...,SEED)

Description

MSM = msmlevy(N,ALPHA) Generates the multistable Levy motion, MSM, using a sample size, N, and a stability function, ALPHA. The parameter N is a positive integer and the parameter ALPHA is in (0,2). This allows to model a process whose index of stability varies in time.

MSM = msmlevy(...,SEED) Generates the multistable levy motion, MSM, with a specific random seed, SEED. This is useful to generate the same path several times or to compare the paths of different MSMs.

Examples

See Also

msmlinmfrac, msmornhulen, asmlevy

References

[1] K. Falconer, J. Lévy Véhel "Multifractional, multistable, and other processes with prescribed local form", Journal of Theoretical Probability, Vol. 22 (2009) 375-401