fftfgn

Version 1.0.0.0 (2.08 KB) by Stilian Stoev
Simulates fractional Gaussian noise (FGN) *efficiently* by using the FFT.
5.0
(1)
2.2K Downloads
Updated 17 Aug 2004

No License

Generates Fractional Gaussian Noise, that is, the increments of the fractional Brownian motion.

(*) When 0<H<1/2, the Lowen's method is used to generate *exact* paths.

(**) When 1/2<H<1, a simple symmetric moving average is used.

Cite As

Stilian Stoev (2024). fftfgn (https://www.mathworks.com/matlabcentral/fileexchange/5702-fftfgn), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R12
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0