| Library: | |
| See also: | FGNgk FGNx FBMx |
| Macro: | FGNcov | |
| Description: | Calculation of the aotocovariance function of fractional Gaussian noise |
| Usage: | (FGNcov)=FGNcov(n,H) | |
| Input: | ||
| n length of vector for the calculated autocovariances | ||
| H Hurst coefficient | ||
| Output: | ||
| FGNcov vector of the autocovariances | ||
cov=FGNcov(4,.7)
Contents of cov [1,] 1 [2,] 0.31951 [3,] 0.18875 [4,] 0.14617
| Library: | |
| See also: | FGNgk FGNx FBMx |