fspecPFGN: Spectral Density of a perturbed 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 contaminated by white noise.
Usage
1
Arguments
eta
a positive value of the Hurst exponent which is less than 1.
m
the number of time points.
SNR
the signal-to-noise ratio.
Details
This function produces the spectral density of a fractional Gaussian noise contaminated by white 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
Examples
1
2
eta<-0.7; m<-1000; SNR=0
fspec<-fspecPFGN(eta,m,SNR)
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 contaminated by white noise.
Usage
1 |
Arguments
eta |
a positive value of the Hurst exponent which is less than 1. |
m |
the number of time points. |
SNR |
the signal-to-noise ratio. |
Details
This function produces the spectral density of a fractional Gaussian noise contaminated by white 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)
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
Examples
1 2 | eta<-0.7; m<-1000; SNR=0
fspec<-fspecPFGN(eta,m,SNR)
|
R Package Documentation
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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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