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: FARgk FARx genarma

Macro: FARcov
Description: Procedure for the calculation of the covariance function of a fractional ARIMA(0,d,0) model, uses the Fast Fourier Transform

Reference(s):

Usage: (FARcov)=FARcov(n,H)
Input:
n length of the generated series
d self similarity parameter d=H-1/2, must be between 0 and 0.5
Output:
FARcov vector of the covariances

Note:

Example:
cov=FARcov(4,.3)
Result:
Contents of cov
[1,]   1.3165
[2,]  0.56422
[3,]  0.43146
[4,]  0.36754

Library:
See also: FARgk 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 000410
(C) MD*TECH Method and Data Technologies, 17.8.2000