The FGN time series is an example of a time series exhibiting long-range dependence
and characterized by the fact that its autocorrelation function exhibits hyperbolic
decay rather than exponential decay found in stationary ARMA time series.
The FGN and other alternatives are discussed in Hipel and McLeod (2005).
Usage
acvfFGN(H, maxlag)
Arguments
H
Hurst parameter
maxlag
acvf computed at lags 0,1,...,maxlag
Value
value of the autocorrelation at lag(s) k
References
Hipel, K.W. and McLeod, A.I., (2005).
Time Series Modelling of Water Resources and Environmental Systems.
Electronic reprint of our book orginally published in 1994.
http://www.stats.uwo.ca/faculty/aim/1994Book/.