pymultifracs.simul.mrw

pymultifracs.simul.mrw(shape, H, lam, L, sigma=1, method='cme', z0=(None, None))

Create a realization of fractional Brownian motion using circulant matrix embedding.

Parameters:

shapeint | tuple(int)

If scalar, it is the number of samples. If tuple it is (N, R), the number of samples and realizations, respectively.

Hfloat

Hurst exponent

lamfloat

Lambda, intermittency parameter

Lfloat

Integral scale

sigmafloat

Variance of process

Returns:

mrwndarray

Synthesized mrw realizations. If shape is scalar, fbm is ofshape (N,). Otherwise, it is of shape (N, R).

References

[1]

Bacry, Delour, Muzy, “Multifractal Random Walk”, Physical Review E, 2001