Biases in the Simulation and Analysis of Fractal Processes

Figure 5

Expected and observed lag-1 autocorrelation for fBm signals. Solid line: theoretical lag-1 autocorrelation of fBm signals, for H ranging from 0.01 to 0.1, computed on the basis of equation (33). White circles: mean lag-1 autocorrelations observed in the series simulated with the Davies–Harte algorithm.