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Fractional Brownian motion synthesis
FBM = wfbm(H,L)
FBM = wfbm(H,L,'plot')
FBM = wfbm(H,L,NS,W)
FBM =
wfbm(H,L,W,NS)
wfbm(H,L,'plot',NS)
wfbm(H,L,'plot',W)
wfbm(H,L,'plot',NS,W)
wfbm(H,L,'plot',W,NS)
FBM = wfbm(H,L) returns a fractional Brownian motion signal FBM of the Hurst parameter H (0 < H < 1) and length L, following the algorithm proposed by Abry and Sellan.
FBM = wfbm(H,L,'plot') generates and plots the FBM signal.
FBM = wfbm(H,L,NS,W) or FBM = wfbm(H,L,W,NS) returns the FBM using NS reconstruction steps and the sufficiently regular orthogonal wavelet W.
wfbm(H,L,'plot',NS) or wfbm(H,L,'plot',W) or wfbm(H,L,'plot',NS,W) or wfbm(H,L,'plot',W,NS) generates and plots the FBM signal.
wfbm(H,L) is equivalent to WFBM(H,L,6,'db10').
wfbm(H,L,NS) is equivalent to WFBM(H,L,NS,'db10').
wfbm(H,L,W) is equivalent to WFBM(H,L,W,6).
A fractional Brownian motion (fBm) is a continuous-time Gaussian process depending on the Hurst parameter 0 < H < 1. It generalizes the ordinary Brownian motion corresponding to H = 0.5 and whose derivative is the white noise. The fBm is self-similar in distribution and the variance of the increments is given by
Var(fBm(t)-fBm(s)) = v |t-s|^(2H)
where v is a positive constant.
According to the value of H, the fBm exhibits for H > 0.5, long-range dependence and for H < 0.5, short or intermediate dependence. This example shows each situation using the wfbm file, which generates a sample path of this process.
% Generate fBm for H = 0.3 and H = 0.7 % Set the parameter H and the sample length H = 0.3; lg = 1000; % Generate and plot wavelet-based fBm for H = 0.3 fBm03 = wfbm(H,lg,'plot');
H = 0.7; % Generate and plot wavelet-based fBm for H = 0.7 fBm07 = wfbm(H,lg,'plot'); % The last step is equivalent to % Define wavelet and level of decomposition % w = ' db10'; ns = 6; % Generate % fBm07 = wfbm(H,lg,'plot',w,ns);
fBm07 clearly exhibits a stronger low-frequency component and has, locally, less irregular behavior.
Abry, P.; F. Sellan (1996), "The wavelet-based synthesis for the fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation," Appl. and Comp. Harmonic Anal., 3(4), pp. 377–383.
Bardet, J.-M.; G. Lang, G. Oppenheim, A. Philippe, S. Stoev, M.S. Taqqu (2003), "Generators of long-range dependence processes: a survey," Theory and applications of long-range dependence, Birkhäuser, pp. 579–623.