longmemo (version 1.1-3)

CetaFGN: Covariance Matrix of Eta for Fractional Gaussian Noise

Description

Covariance matrix of \(\hat{\eta}\) for fractional Gaussian noise (fGn).

Usage

CetaFGN(eta, m = 10000, delta = 1e-9)

Value

Variance-covariance matrix of the estimated parameter vector

\(\hat{\eta}\).

Arguments

eta

parameter vector eta = c(H, *).

m

integer specifying the length of the Riemann sum, with step size 2 * pi/m. The default (10000) is realistic.

delta

step size for numerical derivative computation.

Author

Jan Beran (principal) and Martin Maechler (speedup, fine tuning)

Details

Currently, the step size for numerical derivative is the same in all coordinate directions of eta. In principle, this can be far from optimal.

See Also

specFGN

Examples

 (C.7  <- CetaFGN(0.7, m = 256))
 (C.5  <- CetaFGN(eta = c(H = 0.5), m = 256))
 (C.5. <- CetaFGN(eta = c(H = 0.5), m = 1024))