Transform AR1 to GM
Takes AR1 values and transforms them to GM
ar1_to_gm(theta, freq)
theta |
A |
freq |
A |
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 = -ln(phi)/delta_t sigma^2[gm] = sigma^2/(1-phi^2)
A vec containing GM values.
James Balamuta
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