ckFGN0: Covariances of a Fractional Gaussian Process

In longmemo: Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality

Covariances of a Fractional Gaussian Process

Description

Compute the Autocovariances of a fractional Gaussian process

Usage

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

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)")

longmemo documentation built on Sept. 11, 2024, 5:18 p.m.