pracma (version 1.7.9)

brown72: Brownian Motion

Description

The Brown72 data set represents a fractal Brownian motion with a prescribed Hurst exponent 0f 0.72 .

Usage

data(brown72)

format

The format is: one column.

source

http://www.bearcave.com/misl/misl_tech/wavelets/hurst/

Details

``Estimating the Hurst exponent for a data set provides a measure of whether the data is a pure random walk or has underlying trends. Brownian walks can be generated from a defined Hurst exponent.''

Examples

data(brown72)
plot(brown72, type = "l", col = "blue")
grid()