how to replace N(0,1) innovations with fractional gaussian noise ?

3 vues (au cours des 30 derniers jours)
aggelos
aggelos le 28 Oct 2012
hi everyone,
my question is, how can i use fractional gaussian noise in place of standard gaussian noise to describe the noise in a mean reverting process of the form X(t+1)=phi_i*X(t)+c_i+sigma_i*X(t)*N(0,1). My problem is that i can replicate N(0,1) with the function normpdf(Data,mean,sigma) but the only matlab function that gives gaussian noise is "wfbm" ,that does not take my data as input. Please , anyone who is familiar with these notions to help me!!!!

Réponses (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by