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]