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fdwhite
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 <-...