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.

DetailsDetails

ExamplesExamplesopen allclose all

Basic Examples  (3)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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Introduced in 2014
(10.0)