| 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 |
| 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 | ||
x=FARx(4,.3)
Contents of x [1,] -0.38327 [2,] -0.55771 [3,] 0.28111 [4,] 0.16572
| Library: | |
| See also: | FARcov FARgk genarma FBMx |