gm_to_ar1: Transform GM to AR1

In simts: Time Series Analysis Tools

Transform GM to AR1

Description

Takes GM values and transforms them to AR1

Usage

gm_to_ar1(theta, freq)

Arguments

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

Value

A vec containing GM values.

Author(s)

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

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