gm_to_ar1 {simts} | R Documentation |
Transform GM to AR1
Description
Takes GM values and transforms them to AR1
Usage
gm_to_ar1(theta, freq)
Arguments
theta |
A |
freq |
A |
Value
A vec
containing GM values.
Author(s)
James Balamuta
The function takes a vector of GM values \beta
and \sigma ^2_{gm}
and transforms them to AR1 values \phi
and \sigma ^2
using the formulas:
\phi = \exp \left( { - \beta \Delta t} \right)
{\sigma ^2} = \sigma _{gm}^2\left( {1 - \exp \left( { - 2\beta \Delta t} \right)} \right)
[Package simts version 0.2.2 Index]