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 FARgk genarma FBMx

Macro: FARx
Description: Simulation of a series of fractional ARIMA(0,d,0) by a method proposed by Davies and Harte

Reference(s):

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

Note:

Example:
x=FARx(4,.3)
Result:
Contents of x
[1,]  -0.38327
[2,]  -0.55771
[3,]   0.28111
[4,]   0.16572

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