This program simulates fractional Gaussian noise, or fractional Brownian motion using the Hosking method.
Reference:
J.R.M. Hosking (1984),
Modeling persistence in hydrological time series using fractional brownian differencing,
Water Resources Research, Vol. 20, pp. 1898--1908.
This is a C# port by Colin Green, of an original C source code from:
http://www.columbia.edu/~ad3217/fbm/hosking.c
Ton Dieker
Centre of Mathematics and Computer Science (CWI) Amsterdam
April 2002