a=RandomFunction[FractionalBrownianMotionProcess[.3],{1,5000,1}]["PathStates"];

b=RandomFunction[FractionalBrownianMotionProcess[.8],{1,5000, 1}]["PathStates"];

ListLinePlot[Table[a[[ t]] Cos[3 t]+b[[t]] Sin[3 t],{t,1,5000}],ColorFunction->"Rainbow",ImageSize->200]