csCAS: The Cauchy-type autocorrelation structure (CAS)

In itsoukal/anySim: Stochastic Simulation of Processes with any Marginal Distribution and Correlation Structure

Description

The Cauchy-type autocorrelation structure (CAS)

Usage

csCAS(param, lag, var = 1)

Arguments

param	A two-dimenstional vector, containing the parameters of CAS. First position is for b, the second for k.
lag	A scalar indicating the maximum lag, up to which CAS is estimated.
var	A scalar indicating the variance of the process. If var!=1 then,the autocovariance structure is returned, instead of the autocorrelation structure.

Value

A vector of length (lag+1) with the values of CAS autocorrelation structure.

Examples

##  Estimate and plot a CAS structure, with b=1 and k=0.6, up to lag 500.
ACF=acsCAS(param=c(1, 0.6), lag=500, var=1)
plot(0:(length(ACF)-1), ACF)

itsoukal/anySim documentation built on May 7, 2020, 11:57 p.m.