data.gen.fbm {synthesis}

Generate a time series of fractional Brownian motion.

Description

This function generates a a time series of one dimension fractional Brownian motion.

Usage

data.gen.fbm(
  hurst = 0.95,
  time = seq(0, by = 0.01, length.out = 1000),
  do.plot = TRUE
)

Arguments

hurst

the hurst index, with the default value 0.95, ranging from [0,1].

time

the temporal interval at which the system will be generated. Default seq(0,by=0.01,len=1000).

do.plot

a logical value. If TRUE (default value), a plot of the generated system is shown.

Value

A ts object.

References

Zdravko Botev (2020). Fractional Brownian motion generator (https://www.mathworks.com/matlabcentral/fileexchange/38935-fractional-brownian-motion-generator), MATLAB Central File Exchange. Retrieved August 17, 2020.

Kroese, D. P., & Botev, Z. I. (2015). Spatial Process Simulation. In Stochastic Geometry, Spatial Statistics and Random Fields(pp. 369-404) Springer International Publishing, DOI: 10.1007/978-3-319-10064-7_12

Examples

set.seed(123)
x <- data.gen.fbm()