fspecFGN: Spectral Density of a Fractional Gaussian Noise
In wonsang/wfGn: Estimation of the Hurst Parameter for Contaminated Fractional Gaussian Noises
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Examples
Description
Generation of the spectral density of a fractional Gaussian noise.
Usage
1
fspecFGN(eta,m)
Arguments
eta
a positive value of the Hurst exponent which is less than 1.
m
the number of time points.
Details
This function produces the spectral density of a 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)
Jan Beran (original) and Wonsang You (fine tuning)
References
Jan Beran (1994) Statistics for Long-Memory Processes, Chapman & Hall.
See Also
Examples
1
2
eta<-0.7; m<-1000
fspec<-fspecFGN(eta,m)
wonsang/wfGn documentation built on May 14, 2019, 9:25 p.m.
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Description Usage Arguments Details Value Author(s) References See Also Examples
Description
Generation of the spectral density of a fractional Gaussian noise.
Usage
1 | fspecFGN(eta,m)
|
Arguments
eta |
a positive value of the Hurst exponent which is less than 1. |
m |
the number of time points. |
Details
This function produces the spectral density of a fractional Gaussian noise.
Value
fspec |
a vector of spectral density with length of the largest integer less than |
theta1 |
a value of the first component of theta. |
Author(s)
Jan Beran (original) and Wonsang You (fine tuning)
References
Jan Beran (1994) Statistics for Long-Memory Processes, Chapman & Hall.
See Also
Examples
1 2 | eta<-0.7; m<-1000
fspec<-fspecFGN(eta,m)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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