csHurst: The Hurst or fGn autocorrelation structure

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

Description

The Hurst or fGn autocorrelation structure

Usage

csHurst(H, lag, var = 1)

Arguments

H	A scalar indicating the Hurst coefficient.
lag	A scalar indicating the maximum lag, up to which the fGn 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 fGn autocorrelation structure.

Examples

## Estimate and plot an fGn (i.e., Hurst) structure with H=0.7, up to lag 500.
ACF=acsHurst(H=0.7, lag=500, var=1)
plot(0:(length(ACF)-1), ACF)

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