ar1_to_gm: Transform AR1 to GM
In SMAC-Group/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}}}
Value
A vec containing GM values.
Author(s)
James Balamuta
SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.
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| 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 |
freq |
A |
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}}}
Value
A vec containing GM values.
Author(s)
James Balamuta
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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