Variance of a Seasonal Persistent Process
Computes the variance of a seasonal persistent (SP) process using a hypergeometric series expansion.
spp.var(d, fG, sigma2 = 1) Hypergeometric(a, b, c, z)
d |
Fractional difference parameter. |
fG |
Gegenbauer frequency. |
sigma2 |
Innovations variance. |
a,b,c,z |
Parameters for the hypergeometric series. |
See Lapsa (1997). The subroutine to compute a hypergeometric series was taken from Numerical Recipes in C.
The variance of an SP process.
B. Whitcher
Lapsa, P.M. (1997) Determination of Gegenbauer-type random process models. Signal Processing 63, 73-90.
Press, W.H., S.A. Teukolsky, W.T. Vetterling and B.P. Flannery (1992) Numerical Recipes in C, 2nd edition, Cambridge University Press.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.