FGNAcf {FGN}R Documentation

Autocorrelation of FGN

Description

The FGN time series is an example of a time series exhibiting long-range dependence and characterized by the fact that its autocorrelation function exhibits hyperbolic decay rather than exponential decay found in stationary ARMA time series. The FGN and other alternatives are discussed in Hipel and McLeod (2005).

Usage

FGNAcf(k, H)

Arguments

k lag or lags - may be vector
H Hurst parameter

Value

value of the autocorrelation at lag(s) k

Note

The parameter H should be in (0,1). An error message is given if it is not.

Author(s)

A.I. McLeod

References

Hipel, K.W. and McLeod, A.I., (2005). Time Series Modelling of Water Resources and Environmental Systems. Electronic reprint of our book orginally published in 1994. http://www.stats.uwo.ca/faculty/aim/1994Book/.

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

FGNLL, acf

Examples

#compute the acf at lags 0,1,...,10 when H=0.7
FGNAcf(0:10, 0.7) 

[Package FGN version 1.1 Index]