powerKernelCorrelation: Autocorrelation function for the power law kernel

In BSS: Brownian Semistationary Processes

Description

powerKernelCorrelation calculates the value of the power law kernel autocorrelation function directly using numerical integration for the numerator (the covariance term) and the analytic expression for the denominator (variance term).

Usage

powerKernelCorrelation(alpha, beta, h)

Arguments

alpha	the smoothness parameter, alpha, for the power law kernel.
beta	the exponent parameter, beta, for the power law kernel.
h	the lag to calculate the autocorrelation at.

Value

The function returns the autocorrelation for the power law kernel with parameters alpha and beta at lag h.

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