jen131
2010-03-02, 13:04
Hi all,
I want to generate a fractional brownian motion series with known Hurst exponents. Unlike the traditional monofractal Hurst exponents (only have one Hurst exponents across all scales), I have multiple Hurst exponents at different scales. As we discussed before, I have Hurst exponent H1=0.715 over scales 2^1--2^4 and H2=0.11 over scales 2^5--2^10. So I want to generate a fractional brownian motion series with this two scales properties embedded.
Thank you in advance for your help!:)
I want to generate a fractional brownian motion series with known Hurst exponents. Unlike the traditional monofractal Hurst exponents (only have one Hurst exponents across all scales), I have multiple Hurst exponents at different scales. As we discussed before, I have Hurst exponent H1=0.715 over scales 2^1--2^4 and H2=0.11 over scales 2^5--2^10. So I want to generate a fractional brownian motion series with this two scales properties embedded.
Thank you in advance for your help!:)