mBmQuantifKrigeage

Generates a Mutli-fractional Brownian Motion (mBm) using Wood and Chan circulant matrix, some krigging and a prequantification

Syntax

MBM = mBmQuantifKrigeage(N,H,K)
MBM = mBmQuantifKrigeage(...,'Propertyname',Propertyvalue)

Description

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

MBM = mBmQuantifKrigeage(...,'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

mbmlevinson, fbmwoodchan, fbmlevinson

References

[1] O. Barrière, "Synthèse et estimation de mouvements Browniens multifractionnaires et autres processus à régularité prescrite. Définition du processus autorégulé multifractionnaire et applications", PhD Thesis (2007).