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mbm
2011 Feb 08
1
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
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Wonsang You
Leibniz Institute for...