R help - Oct 2003 - Simulation of Levy Processes and Fractional Brownian motion

Dear R users, 
 
Are there any functions that can be used for the
Simulation of Levy Processes and Fractional Brownian motion?
 
Paul.



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On 01-Oct-03 Paul Divid wrote:
> Dear R users, 
>  
> Are there any functions that can be used for the
> Simulation of Levy Processes and Fractional Brownian motion?
Warning: computer simulation of fractal/chaotic processes can be
danegrously misleading:

  chaos<-function(xstart,n) {
    x<-xstart; y<-x;
    for(i in (1:n)){
      if(y<=0.5){y<-2*y} else {y<-2*(1-y)}
      x<-c(x,y)
    }
    return(x)
  }

Mathematically, this function is genuinely chaotic, for almost all
values of 0 < xstart < 1.

Try it with

  chaos(sqrt(2)/2,100)

With tongue (somewhat) in cheek,
Ted.



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Date: 01-Oct-03                                       Time: 13:09:51
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