gen_fgn {simts}R Documentation

Generate a Fractional Gaussian noise given \sigma^2 and H.

Description

Simulates a Fractional Gaussian noise given \sigma^2 and H.

Usage

gen_fgn(N, sigma2 = 1, H = 0.9)

Arguments

N

An integer for signal length.

sigma2

A double.

H

A double.

Value

fgn A vec containing the Fractional Gaussian noise process.


[Package simts version 0.2.2 Index]