sdfhd: Spectral density of hyperbolic decay models

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

The spectral density function is evaluated at the Fourier frequencies, 2*pi*seq(from=1/n, to=1/2, by=1/n) for various types of hyperbolic decay time series models.

Usage

sdfhd(n, alpha = 1, phi = numeric(0), theta = numeric(0), 
  lmodel = c("FD", "FGN", "PLA", "NONE"))

Arguments

n	series length, number of Fourier frequencies [n/2]
alpha	canonical hyperbolic decay parameter
phi	autoregressive coefficients
theta	moving-average coefficients, Box-Jenkins style
lmodel	type of hyperbolic decay model

Value

vector of values of the spectral density function at the Fourier frequencies

Author(s)

A. I. McLeod

Examples

sdfhd(100, 0.2)

FGN documentation built on May 30, 2017, 7:19 a.m.