CetaFGN {longmemo} | R Documentation |
Covariance Matrix of Eta for Fractional Gaussian Noise
Description
Covariance matrix of \hat{\eta}
for fractional Gaussian
noise (fGn).
Usage
CetaFGN(eta, m = 10000, delta = 1e-9)
Arguments
eta |
parameter vector |
m |
integer specifying the length of the Riemann sum, with step
size |
delta |
step size for numerical derivative computation. |
Details
Currently, the step size for numerical derivative is the same in all
coordinate directions of eta
. In principle, this can be far
from optimal.
Value
Variance-covariance matrix of the estimated parameter vector
\hat{\eta}
.
Author(s)
Jan Beran (principal) and Martin Maechler (speedup, fine tuning)
See Also
Examples
(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))
[Package longmemo version 1.1-3 Index]