powerKernelCorrelation {BSS}

Autocorrelation function for the power law kernel

Description

powerKernelCorrelation calculates the value of the power law kernel autocorrelation function directly using numerical integration for the numerator (the covariance term) and the analytic expression for the denominator (variance term).

Usage

powerKernelCorrelation(alpha, beta, h)

Arguments

alpha

the smoothness parameter, alpha, for the power law kernel.

beta

the exponent parameter, beta, for the power law kernel.

h

the lag to calculate the autocorrelation at.

Value

The function returns the autocorrelation for the power law kernel with parameters alpha and beta at lag h.