Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:
See also: FARcov FARx genarma

Macro: FARgk
Description: Calculation of the gk for Simulation of fractional ARIMA(0,d,0) with FARx

Reference(s):

Usage: (gk)=FARgk(m,d)
Input:
m length of the generated series in FARx, must be a power of 2 due to the Fast Fourier Transform
d self similarity parameter d=H-1/2
Output:
gk vector of the calculated gk (length 2*n)

Note:

Example:
gk=FARgk(2,.3)
Result:
Contents of gk
[1,]   2.8764
[2,]  0.88505
[3,]  0.61953
[4,]  0.88505

Library:
See also: FARcov FARx genarma

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Arne Wuensche 000402
(C) MD*TECH Method and Data Technologies, 17.8.2000