The code in this repository is an implementation of the approximate circulant algorithm used to generate fractional Gaussian noise. This algorithm was proposed in a paper by Dieker and Mendes (2003).
This implementation of the algorithm heavily reuses code made available by Ton Dieker at http://www.columbia.edu/~ad3217/fbm.html. The main difference from the previous implementation is that this implementation relies on GNU Scientific Library instead of Ranlib and Meschach. The possibility to generate fractional Brownian motion was also removed as it is redundant. Namely this functionality can be implemented outside this generation algorithm.