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

Introduced in 2014
(10.0)