| 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 |
approx |
Logical. If |
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))