ar1_to_gm {simts} | R Documentation |
Transform AR1 to GM
Description
Takes AR1 values and transforms them to GM
Usage
ar1_to_gm(theta, freq)
Arguments
theta |
A |
freq |
A |
Details
The function takes a vector of AR1 values \phi
and \sigma ^2
and transforms them to GM values \beta
and \sigma ^2_{gm}
using the formulas:
\beta = - \frac{{\ln \left( \phi \right)}}{{\Delta t}}
\sigma _{gm}^2 = \frac{{{\sigma ^2}}}{{1 - {\phi ^2}}}
Value
A vec
containing GM values.
Author(s)
James Balamuta
[Package simts version 0.2.2 Index]