acf2msd: Convert autocorrelation of stationary increments to mean...

In SuperGauss: Superfast Likelihood Inference for Stationary Gaussian Time Series

Convert autocorrelation of stationary increments to mean squared displacement of posititions.

Description

Converts the autocorrelation of a stationary increment sequence dx = (x_1 - x_0, ..., x_N - x_(N-1)) to the mean squared displacement (MSD) of the corresponding positions, i.e., MSD_i = E[(x_i - x_0)^2].

Usage

acf2msd(acf)

Arguments

acf	Length-N autocorrelation vector of a stationary increment sequence.

Value

Length-N MSD vector of the corresponding positions.

Examples

acf2msd(acf = exp(-(0:10)))

SuperGauss documentation built on March 18, 2022, 6:35 p.m.