asmlinfrac

Generates an Alpha-Stable Linear Fractional Motion

Syntax

ASM = asmlinfrac(N,ALPHA,H,M,m)
ASM = asmlinfrac(...,SEED)

Description

ASM = asmlinfrac(N,ALPHA,H,M,m) Generates the alpha-stable linear fractional motion, ASM, using a sample size, N, a stability parameter, ALPHA, a self-similirity parameter, H, a kernel cut-off parameter, M and a number of discretization steps, m. The parameters N,M and m are positive integers and this triplet should be chosen so that the value m*(N+2*M) is a power of 2. ALPHA is a real in (0,2) and H must be a real in (0,1) different to (1/ALPHA).

ASM = asmlinfrac(...,SEED) Generates the alpha-stable linear fractional motion, ASM, with a specific random seed, SEED. This is useful to generate the same path several times or to compare the paths of different ASMs.

Examples

See Also

asmlevy, asmornhulen, msmlinmfrac

References

[1] S. Stoev, M. Taqqu "Simulation methods for linear fractional stable motion and FARIMA using the Fast Fourier Transform", Fractals, Vol. 12, No. 1 (2004) 95-121.

[2] K. Falconer, R. Le Guével, J. Lévy Véhel "Localisable moving average stable and multistable processes", Stochastic Models.