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)

Arguments

d

Fractional difference parameter.
fG

Gegenbauer frequency.
sigma2

Innovations variance.
a,b,c,z

Parameters for the hypergeometric series.

Value

The variance of an SP process.

Details

See Lapsa (1997). The subroutine to compute a hypergeometric series was taken from Numerical Recipes in C.

References

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.

Author

B. Whitcher