FractionalGaussianNoiseProcess

FractionalGaussianNoiseProcess[μ,σ,h]

represents a fractional Gaussian noise process with drift μ, volatility σ, and Hurst index h.

FractionalGaussianNoiseProcess[h]

represents a fractional Gaussian noise process with drift 0, volatility 1, and Hurst index h.

Details

Examples

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Basic Examples  (3)

Simulate a fractional Gaussian noise process:

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Plot the path:

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Mean and variance functions are constant:

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Covariance function:

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Scope  (11)

Generalizations & Extensions  (1)

Applications  (1)

Properties & Relations  (7)

Neat Examples  (3)

See Also

FractionalBrownianMotionProcess  WienerProcess  RandomWalkProcess  BrownianBridgeProcess  GeometricBrownianMotionProcess  OrnsteinUhlenbeckProcess  NormalDistribution  BinormalDistribution  MultinormalDistribution

Introduced in 2014
(10.0)