ckFGN0: Covariances of a Fractional Gaussian Process

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

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)")

Example output

 num [1:50] 1 0.516 0.368 0.311 0.277 ...
Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
  1 x value <= 0 omitted from logarithmic plot

longmemo documentation built on March 26, 2020, 7:42 p.m.