Covariances of a Fractional Gaussian Process

Description

Compute the Autocovariances of a fractional Gaussian process

Usage

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ckFGN0(n, H)

Arguments

n

sample size (length of time series).

H

self-similarity (‘Hurst’) parameter.

Value

numeric vector of covariances upto lag n-1.

Author(s)

Jan Beran (principal) and Martin Maechler (fine tuning)

See Also

ckARMA0 which does the same for a fractional ARIMA process.

Examples

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str(C.8 <- ckFGN0(50, H = 0.8))
plot(0:49, C.8, type = "h", ylim = 0:1)
plot(0:49, C.8, type = "h", log = "xy",
     main = "Log-Log  ACF for frac.GaussNoise(H = 0.8)")