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: FGNgk FGNx FBMx

Macro: FGNcov
Description: Calculation of the aotocovariance function of fractional Gaussian noise

Reference(s):

Usage: (FGNcov)=FGNcov(n,H)
Input:
n length of vector for the calculated autocovariances
H Hurst coefficient
Output:
FGNcov vector of the autocovariances

Note:

Example:
cov=FGNcov(4,.7)
Result:
Contents of cov
[1,]       1
[2,] 0.31951
[3,] 0.18875
[4,] 0.14617

Library:
See also: FGNgk FGNx FBMx

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 Wünsche, 000402
(C) MD*TECH Method and Data Technologies, 17.8.2000