csPeriodic: A classical periodic autocorrelation structure

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

Description

A classical periodid autocorrelation structure derived by David Mackay.

Usage

csPeriodic(param, lag, var = 1)

Arguments

param	A two-dimenstional vector, containing the parameters of the periodic autocorrelation structure. First position is period (p), and the second the lengthscale (l).
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 the periodic autocorrelation structure.

Examples

## Estimate and plot a periodic autocorrelation structure with parameters, period=12 and
lenghtscale=1, up to lag 50.

ACF=acsPeriodic(param=c(12, 1), lag=50, var=1)
plot(0:(length(ACF)-1), ACF, t='l')

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