hybridSchemeCovarianceMatrix {BSS} | R Documentation |
Generates the covariance matrix used in simulating Brownian semistationary processes by the hybrid scheme.
hybridSchemeCovarianceMatrix(kappa, n, alpha)
kappa |
number of terms needed for the lower sum in the hybrid scheme. |
n |
number of observations per unit of time, n = 1/delta. |
alpha |
smoothness parameter used in the BSS simulation. |
Returns the covariance matrix for the lower sum in the hybrid scheme calculations. The dimensions of the covariance matrix will be (kappa + 1) by (kappa + 1).
kappa <- 3
n <- 100
alpha <- -0.2
hybridSchemeCovarianceMatrix(kappa, n, alpha)