Library: | |
See also: | FARcov FARx genarma |
Macro: | FARgk | |
Description: | Calculation of the gk for Simulation of fractional ARIMA(0,d,0) with FARx |
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) |
gk=FARgk(2,.3)
Contents of gk [1,] 2.8764 [2,] 0.88505 [3,] 0.61953 [4,] 0.88505
Library: | |
See also: | FARcov FARx genarma |