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2010 May 28
0
simulate time series with various "colors" of noise
...the question: FDSimulate takes a delta parameter governing the fractionally differenced process. Using delta = 0 we get white noise, delta = 0.5 pink, and delta = 1 red/"brown." Everything seemed to be working great for delta = 0 and 1, but at delta = 0.5 there were problems. Using the FDWhittle function (which should back-calculate delta from a series of numbers) I investigated what's going on: ######################### require(fractal) these.delt <- rep(seq(0,1,length.out=100),rep(10,100)) est.delt <- numeric(1000) # this takes a few seconds for(i in 1:1000) { this.x <-...