matern_acf: Matern autocorrelation function.

In SuperGauss: Superfast Likelihood Inference for Stationary Gaussian Time Series

Matern autocorrelation function.

Description

Matern autocorrelation function.

Usage

matern_acf(tseq, lambda, nu)

Arguments

tseq	Vector of N time points at which the autocorrelation is to be calculated.
lambda	Timescale parameter.
nu	Smoothness parameter.

Details

The Matern autocorrelation is given by

acf(t) = 2^(1-ν)/Γ(ν) * (√{2ν} * t/λ)^ν * K_ν(√{2ν} * t/λ),

where K_ν(x) is the modified Bessel function of second kind.

Value

An autocorrelation vector of length N.

Examples

matern_acf(tseq = 1:10, lambda = 1, nu = 3/2)

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