| 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 |
| 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 | ||
cov=FARcov(4,.3)
Contents of cov [1,] 1.3165 [2,] 0.56422 [3,] 0.43146 [4,] 0.36754
| Library: | |
| See also: | FARgk FARx genarma |