wavFDPSimulate( delta = c(0.2, 0.4), innovation = rep(1,2) )
(1) D. B. Percival and A. T. Walden, ``Wavelet Methods for Time Series Analysis'', Cambridge University Press, 2000.
(2) D. B. Percival and W.L.B. Constantine, ``Exact Simulations of Time-Varying Fractionally Differenced Processes'', submitted to Journal of Computational and Graphical Statistics, 2002.
## create a time-varying FD parameter, ## linearly varying from white to pink noise delta <- seq( 0, 0.5, by = 0.02 ) ## set the innovations variance to unity innovation <- rep(1, length( delta ) ) ## simulate a time-varying FD process result <- wavFDPSimulate( delta = delta, + innovation = innovation )