| 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