FGN: Definition of a Fractional Gaussian Noise (FGN) Process

In simts: Time Series Analysis Tools

Definition of a Fractional Gaussian Noise (FGN) Process

Description

Definition of a Fractional Gaussian Noise (FGN) Process

Usage

FGN(sigma2 = 1, H = 0.9999)

Arguments

sigma2	A double.
H	A double.

Value

An S3 object containing the specified ts.model with the following structure:

process.desc

Used in summary: "SIGMA2","H"

theta

Parameter vector including \sigma^2, H

plength

Number of parameters

print

String containing simplified model

desc

"FGN"

obj.desc

Depth of Parameters e.g. list(1,1)

starting

Find starting values? TRUE or FALSE (e.g. specified value)

Author(s)

Lionel Voirol, Davide Cucci

Examples

FGN()
FGN(sigma2 = 1, H = 0.9999)

simts documentation built on Aug. 31, 2023, 5:07 p.m.