Wonsang You
2011-Feb-08 16:51 UTC
[R] Simulation of Multivariate Fractional Gaussian Noise and Fractional Brownian Motion
Dear R Helpers, I have searched for any R package or code for simulating multivariate fractional Brownian motion (mFBM) or multivariate fractional Gaussian noise (mFGN) when a covariance matrix are given. Unfortunately, I could not find such a package or code. Can you suggest any solution for multivariate FBM and FGN simulation? Thank you for your help. Best Regards, Ryan ----- Wonsang You Leibniz Institute for Neurobiology -- View this message in context: http://r.789695.n4.nabble.com/Simulation-of-Multivariate-Fractional-Gaussian-Noise-and-Fractional-Brownian-Motion-tp3276296p3276296.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]]
Kjetil Halvorsen
2011-Feb-10 17:54 UTC
[R] Simulation of Multivariate Fractional Gaussian Noise and Fractional Brownian Motion
What you can do to find out is to type into your R session
RSiteSearch("multivariate fractional gaussian")
That seems to give some usefull results.
Kjetil
On Tue, Feb 8, 2011 at 1:51 PM, Wonsang You <you at ifn-magdeburg.de>
wrote:>
> Dear R Helpers,
>
> I have searched for any R package or code for simulating multivariate
> fractional Brownian motion (mFBM) or multivariate fractional Gaussian noise
> (mFGN) when a covariance matrix are given. Unfortunately, I could not find
> such a package or code.
> Can you suggest any solution for multivariate FBM and FGN simulation? Thank
> you for your help.
>
> Best Regards,
> Ryan
>
>
> -----
> Wonsang You
> Leibniz Institute for Neurobiology
> --
> View this message in context:
http://r.789695.n4.nabble.com/Simulation-of-Multivariate-Fractional-Gaussian-Noise-and-Fractional-Brownian-Motion-tp3276296p3276296.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ? ? ? ?[[alternative HTML version deleted]]
>
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