Library: | times |
See also: | FGNgk FGNx |
Quantlet: | FGNcov | |
Description: | calculation the autocovariance function of fractional Gaussian noise (FGN) |
Usage: | daCov=FGNcov(iM,dH,dVar) | |
Input: | ||
iM | scalar, number of autocovariances; length of the vector containing the autocovariances is iM+1 (variance and autocovariances). | |
dH | scalar, Hurst coefficient | |
dVar | variance scaling parameter of FGN (mean of FGN is 0) | |
Output: | ||
daCov | vector of the autocovariances |
library("times") cov=FGNcov(4.0,.75,1.0) cov
Contents of cov [1,] 1 [2,] 0.41421 [3,] 0.26965 [4,] 0.21806 [5,] 0.18825