Library: | |
See also: | FARcov FARgk genarma FBMx |
Macro: | FARx | |
Description: | Simulation of a series of fractional ARIMA(0,d,0) by a method proposed by Davies and Harte |
Usage: | (FARx)=FARx(m,d) | |
Input: | ||
m length of the series to be simulated, must be a power | of 2 due to the Fast Fourier Transform | |
d self similarity parameter, d=H-1/2 | ||
Output: | ||
FARx generated series |
x=FARx(4,.3)
Contents of x [1,] -0.38327 [2,] -0.55771 [3,] 0.28111 [4,] 0.16572
Library: | |
See also: | FARcov FARgk genarma FBMx |