FractionalGaussianNoiseProcess

FractionalGaussianNoiseProcess[μ,σ,h] represents a fractional Gaussian noise process with drift μ, volatility σ, and Hurst index h.

FractionalGaussianNoiseProcess[h] represents a fractional Gaussian noise process with drift 0, volatility 1, and Hurst index h.

Examples

Create a fractional Gaussian noise process with Hurst index 0.7:

FractionalGaussianNoiseProcess[0.7]

Please visit the official Wolfram Language Reference for more details.