fbm_msd {SuperGauss} | R Documentation |
Mean square displacement of fractional Brownian motion.
Description
Mean square displacement of fractional Brownian motion.
Usage
fbm_msd(tseq, H)
Arguments
tseq |
Length- |
H |
Hurst parameter (between 0 and 1). |
Details
The mean squared displacement (MSD) of a stochastic process X_t
is defined as
MSD(t) = E[(X_t - X_0)^2].
Fractional Brownian motion (fBM) is a continuous Gaussian process with stationary increments, such that its covariance function is entirely defined the MSD, which in this case is MSD(t) = |t|^(2H)
.
Value
Length-N
vector of mean square displacements.
Examples
fbm_msd(tseq = 1:10, H = 0.4)
[Package SuperGauss version 2.0.3 Index]