CetaFGN: Covariance Matrix of fGn Parameters

In wonsang/wfGn: Estimation of the Hurst Parameter for Contaminated Fractional Gaussian Noises

Description

Covariance matrix of parameters \widehat{η } of fractional Gaussian noise.

Usage

CetaFGN(eta,snr=NULL)

Arguments

eta	a positive value of the Hurst exponent which is less than 1.
snr	the signal-to-noise ratio. Default is NULL.

Details

The most parts of this function were adopted from the S-PLUS codes originally developed by Jan Beran. See Beran (1994) for details.

Value

A covariance matrix of the estimated fGn parameters with size M \times M where M is the length of \widehat{η }.

Author(s)

Jan Beran (original) and Wonsang You (fine tuning)

References

Jan Beran (1994) Statistics for Long-Memory Processes, Chapman & Hall.

See Also

fspecFGN

Examples

eta <- c(H=0.7); SNR <- 10
cov <- CetaFGN(eta,SNR)

wonsang/wfGn documentation built on May 14, 2019, 9:25 p.m.