CetaFGN {longmemo} | R Documentation |
Covariance matrix of eta^ for fractional Gaussian noise (fGn).
CetaFGN(eta, m = 10000, delta = 1e-9)
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. |
Currently, the step size for numerical derivative is the same in all
coordinate directions of eta
. In principle, this can be far
from optimal.
Variance-covariance matrix of the estimated parameter vector eta^.
Jan Beran (principal) and Martin Maechler (speedup, fine tuning)
(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))