FGN (version 2.0-12)

SimulateFD: Simulates FD

Description

A fractional Gaussian noise time series is simulated.

Usage

SimulateFD(n, d)

Arguments

n

length of time series

d

fractional difference parameter

Value

vector of length containing the simulated time series

Details

The FFT is used so it is most efficient if you select n to be a power of 2. Note, d=H-1/2.

References

Davies, R. B. and Harte, D. S. (1987). Tests for Hurst Effect. Biometrika 74, 95--101.

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

SimulateFGN, DLSimulate

Examples

#Example 1
#simulate a process with H=0.2 and plot it
z<-SimulateFD(100, 0.2)
ts.plot(z)