perturbFBM {dvfBm} | R Documentation |
Simulation of a sample path of a fractional Brownian motion contaminated by outliers or an additive Gaussian noise
perturbFBM(n, H, C = 1, type = "no", SNR=NULL,plot = FALSE)
n |
sample size |
H |
Hurst parameter |
C |
scaling coefficient. Default is 1 |
type |
type of perturbation. Possible choices are "no","B0","B1","AO" |
SNR |
Signal Noise Ratio parameter for the contamination |
plot |
if plot is TRUE a (2,2) plot of the sample path of the fractional Brownian motion, the fractional Gaussian noise and their contaminated version is produced. Default is FALSE |
Possible contaminated models are
"no"
"AO"
SNR
."B0"
SNR
"B1"
SNR
See Achard and Coeurjolly (2009) for a more detailed description.
returns a vector of length n
of a dsicretized sample path of a fractional Brownian motion with parameters (H,C)
at times i=1,...,n possibly contaminated by an additive outliers models, a Brownian motion or a Gaussian white noise.
J.-F. Coeurjolly
S. Achard and J.-F. Coeurjolly (2009). Discrete variations of the fractional Brownian in the presence of outliers and an additive noise. Submitted
n<-1000;H1<-.3;H2<-.8 ## "no" tmp1<-perturbFBM(n,H1,type="no",plot=TRUE) tmp2<-perturbFBM(n,H2,type="no",plot=TRUE) ## "AO" tmp3<-perturbFBM(n,H1,type="AO",SNR=0,plot=TRUE) tmp4<-perturbFBM(n,H2,type="AO",SNR=-20,plot=TRUE) ## "B0" tmp5<-perturbFBM(n,H1,type="B0",SNR=10,plot=TRUE) tmp6<-perturbFBM(n,H2,type="B0",SNR=0,plot=TRUE) ## "B1" tmp7<-perturbFBM(n,H1,type="B1",SNR=10,plot=TRUE) tmp8<-perturbFBM(n,H2,type="B1",SNR=0,plot=TRUE)