hybridSchemeCovarianceMatrix: Hybrid scheme covariance matrix

In BSS: Brownian Semistationary Processes

Description

Generates the covariance matrix used in simulating Brownian semistationary processes by the hybrid scheme.

Usage

hybridSchemeCovarianceMatrix(kappa, n, alpha)

Arguments

kappa	number of terms needed for the lower sum in the hybrid scheme.
n	number of observations per unit of time, n = 1/delta.
alpha	smoothness parameter used in the BSS simulation.

Value

Returns the covariance matrix for the lower sum in the hybrid scheme calculations. The dimensions of the covariance matrix will be (kappa + 1) by (kappa + 1).

Examples

kappa <- 3
n <- 100
alpha <- -0.2

hybridSchemeCovarianceMatrix(kappa, n, alpha)

BSS documentation built on July 2, 2020, 1:31 a.m.