corr_fBM {AIUQ} | R Documentation |
Construct correlation matrix for FBM
Description
Construct correlation matrix for fractional Brownian motion.
Usage
corr_fBM(len_t, H)
Arguments
len_t |
number of time steps |
H |
Hurst parameter, value between 0 and 1 |
Value
Correlation matrix with dimension len_t-1
by len_t-1
.
Author(s)
Yue He [aut], Xubo Liu [aut], Mengyang Gu [aut, cre]
Examples
library(AIUQ)
len_t = 50
H = 0.3
m = corr_fBM(len_t=len_t,H=H)
[Package AIUQ version 0.5.2 Index]