represents a fractional Gaussian noise process with drift μ, volatility σ, and Hurst index h.
represents a fractional Gaussian noise process with drift 0, volatility 1, and Hurst index h.
- FractionalGaussianNoiseProcess is a continuous-time and continuous-state random process.
- FractionalGaussianNoiseProcess is a Gaussian process with mean function and covariance function .
- FractionalGaussianNoiseProcess[μ,σ,h] is equivalent to TransformedProcess[x[t+1]-x[t],xFractionalBrownianMotionProcess[μ,σ,h],t].
- FractionalGaussianNoiseProcess allows μ to be any real number, σ to be any positive real number, and h to be a real number between 0 and 1.
- FractionalGaussianNoiseProcess can be used with such functions as RandomFunction and CovarianceFunction.
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Basic Examples (3)
Generalizations & Extensions (1)
Properties & Relations (7)
Neat Examples (3)
Introduced in 2014