fspecBFGN: Spectral Density of a bivariate Fractional Gaussian Noise

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

Description

Generation of the spectral density of a bivariate fractional Gaussian noise.

Usage

fspecBFGN(eta1, eta2, m)

Arguments

eta1	the Hurst exponent of the first component of a bivariate fractional Gaussian noise.
eta2	the Hurst exponent of the second component of a bivariate fractional Gaussian noise.
m	the number of time points.

Details

This function produces the spectral density of a bivariate fractional Gaussian noise.

Value

fspec	a vector of spectral density with length of the largest integer less than (m-1)/2.
theta1	a value of the first component of theta.

Author(s)

Wonsang You

References

Wonsang You (2010) Modified Whittle's Maximum Likelihood Estimator for Fractional Gaussian Noises Contaminated by Additive Noises, Technical Reports of the Leibniz Institute for Neurobiology, TR10015.

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

See Also

fspecFGN, fspecPFGN, wFGN

Examples

eta1<-0.7; eta2<-0.8; m<-1000
fspec<-fspecBFGN(eta1,eta2,m)

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