R: Brownian Motion

brown72 {pracma} | R Documentation

## Brownian Motion

### Description

The Brown72 data set represents a fractal Brownian motion with a prescribed Hurst exponent 0f 0.72 .

### Usage

    data(brown72)

### Format

The format is: one column.

### Details

“Estimating the Hurst exponent for a data set provides a measure of whether the data is a pure random walk or has underlying trends. Brownian walks can be generated from a defined Hurst exponent.”

### Source

http://www.bearcave.com/misl/misl_tech/wavelets/hurst/

### Examples

    ## Not run:
    data(brown72)
    plot(brown72, type = "l", col = "blue")
    grid()
    ## End(Not run)

[Package pracma version 2.0.4 Index]