fgn {INLA} | R Documentation

## Return the coefficients in the 3-component AR(1) mixture representing FGN(H)

### Description

This function will return the coefficients in the 3-component AR(1) mixture representing FGN(H)

### Usage

         inla.fgn(H, K=4L, lag.max = NULL, approx = TRUE)

### Arguments

`H` | The Hurst coeffcient (0<H<1), or a vector of those
`K` | The number of components in representation, must be 3L or 4L
`lag.max` | Integer. If positive integer, return the coeffcients implicitely as the ACF from 0 to `lag.max`
`approx` | Logical. If `lag.max` is an positive integer and `approx` is `FALSE`, then return the true ACF instead of the approximated one.

### Value

`inla.fgn` returns a named matrix. If `is.null(lag.max)`, then first column is `H`, columns `1+1:K` are lag one correlations (or phi's), and columns `1+K+1:K` are the weights. If `lag.max > 0`, then return the ACFs in columns `2+(0:lag.max)`, for the H in column 1, either the approximated ones or the the true ones.

This function is EXPERIMENTAL!!!

### Author(s)

Havard Rue hrue@r-inla.org

### Examples

         r = c(inla.fgn(0.7))
         r_m = inla.fgn(seq(0.6, 0.8, by=0.01))

[Package INLA version 18.07.12 Index]