spp.var: Variance of a Seasonal Persistent Process

In waveslim: Basic Wavelet Routines for One-, Two-, and Three-Dimensional Signal Processing

Variance of a Seasonal Persistent Process

Description

Computes the variance of a seasonal persistent (SP) process using a hypergeometric series expansion.

Usage

spp.var(d, fG, sigma2 = 1)

Hypergeometric(a, b, c, z)

Arguments

d	Fractional difference parameter.
fG	Gegenbauer frequency.
sigma2	Innovations variance.
a, b, c, z	Parameters for the hypergeometric series.

Details

See Lapsa (1997). The subroutine to compute a hypergeometric series was taken from Numerical Recipes in C.

Value

The variance of an SP process.

Author(s)

B. Whitcher

References

Lapsa, P.M. (1997) Determination of Gegenbauer-type random process models. Signal Processing 63, 73-90.

Press, W.H., S.A. Teukolsky, W.T. Vetterling and B.P. Flannery (1992) Numerical Recipes in C, 2nd edition, Cambridge University Press.

waveslim documentation built on June 22, 2024, 9:43 a.m.