ckFGN0: Covariances of a Fractional Gaussian Process

Description Usage Arguments Value Author(s) See Also Examples

View source: R/sim.R

Description

Compute the Autocovariances of a fractional Gaussian process

Usage

1
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

1
2
3
4
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 May 19, 2017, 11:53 p.m.
Search within the longmemo package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.