ar1_to_gm: Transform AR1 to GM
In simts: Time Series Analysis Tools

ar1_to_gm

R Documentation

Transform AR1 to GM

Description

Takes AR1 values and transforms them to GM

Usage

ar1_to_gm(theta, freq)

Arguments

`theta`	A `vec` that contains AR1 values.
`freq`	A `double` indicating the frequency of the data.

Details

The function takes a vector of AR1 values \phi and \sigma ^2 and transforms them to GM values \beta and \sigma ^2_{gm} using the formulas: \beta = - \frac{{\ln \left( \phi \right)}}{{\Delta t}} \sigma _{gm}^2 = \frac{{{\sigma ^2}}}{{1 - {\phi ^2}}}