msmlinmfrac

Generates a Linear Multifractional Multistable Motion

Syntax

MSM = msmlinmfrac(N,ALPHA,H,M,m)
MSM = msmlinmfrac(...,SEED)
[MSM, MSMN] = msmlinmfrac(...)

Description

MSM = msmlinmfrac(N,ALPHA,H,M,m) Generates the linear multifractional multistable motion, MSM, using a sample size, N, and a stability function, ALPHA, a self-similarity function, 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 in (0,2) and H is in (0,1). This allows to model a process whose index of stability and self-similarity parameter vary in time.

MSM = msmlinmfrac(...,SEED) Generates the linear multifractional multistable 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.

[MSM, MSMN] = msmlinmfrac(...) Generates the linear multifractional multistable motion, MSM, and its normalized signal MSMN.

Examples

See Also

msmlevy, msmornhulen, asmlinfrac

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

[2] R. Le Guével, J. Lévy Véhel "A Ferguson-Class-LePage series representation of multistable multifractional processes and related processes"