# Fractional Gaussian Noise

Requires a Wolfram Notebook System

Interact on desktop, mobile and cloud with the free Wolfram CDF Player or other Wolfram Language products.

Requires a Wolfram Notebook System

Edit on desktop, mobile and cloud with any Wolfram Language product.

This Demonstration generates a fractional Gaussian noise time series of length with Hurst coefficient , mean 0, and variance 1. The plot shows 100 successive observations at a time. To avoid clutter, only the center is labeled on the horizontal bottom frame. By sliding the "start" bar, you can view successive subsequences.

[more]
Contributed by: Ian McLeod (January 2012)

(University of Western Ontario)

Open content licensed under CC BY-NC-SA

## Snapshots

## Details

[1] provides a review of the fractional Gaussian noise and related long-memory time series models.

Reference

[1] K. W. Hipel and A. I. McLeod, *Time Series Modelling of Water Resources and Environmental Systems*, Amsterdam: Elsevier, 1994.

## Permanent Citation