corr_fBM {AIUQ} | R Documentation |
Construct correlation matrix for fractional Brownian motion.
corr_fBM(len_t, H)
len_t |
number of time steps |
H |
Hurst parameter, value between 0 and 1 |
Correlation matrix with dimension len_t-1
by len_t-1
.
Yue He [aut], Xubo Liu [aut], Mengyang Gu [aut, cre]
library(AIUQ)
len_t = 50
H = 0.3
m = corr_fBM(len_t=len_t,H=H)