spp.var: Variance of a Seasonal Persistent Process

Description Usage Arguments Details Value Author(s) References

Description

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

Usage

1
2
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.


andrewzm/waveslim documentation built on May 10, 2019, 11:16 a.m.