simts (version 0.2.2)

FGN: Definition of a Fractional Gaussian Noise (FGN) Process

Description

Definition of a Fractional Gaussian Noise (FGN) Process

Usage

FGN(sigma2 = 1, H = 0.9999)

Value

An S3 object containing the specified ts.model with the following structure:

process.desc

Used in summary: "SIGMA2","H"

theta

Parameter vector including \(\sigma^2\), \(H\)

plength

Number of parameters

print

String containing simplified model

desc

"FGN"

obj.desc

Depth of Parameters e.g. list(1,1)

starting

Find starting values? TRUE or FALSE (e.g. specified value)

Arguments

sigma2

A double.

H

A double.

Author

Lionel Voirol, Davide Cucci

Examples

FGN()
FGN(sigma2 = 1, H = 0.9999)