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Generates Fractional Gaussian Noise, that is, the increments of the fractional Brownian motion.
(*) When 0<H<1/2, the Lowen's method is used to generate *exact* paths.
(**) When 1/2<H<1, a simple symmetric moving average is used.
Cite As
Stilian Stoev (2026). fftfgn (https://in.mathworks.com/matlabcentral/fileexchange/5702-fftfgn), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (2.08 KB)
-
No License
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
