fbmwoodchan

Generates a Fractional Brownian Motion (fBm) using Wood and Chan circulant matrix

Syntax

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

Description

FBM = fbmwoodchan(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 = fbmwoodchan(...,'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

fbmlevinson, mBmQuantifKrigeage, mbmlevinson

References

[1] A.T.A. Wood, G. Chan "Simulation of stationary Gaussian process in [0,1]d", Journal of Computational and Graphical Statistics, Vol. 3 (1994) 409-432.