Transform GM to AR1

Takes GM values and transforms them to AR1

gm_to_ar1(theta, freq)

Arguments

theta

A vec that contains AR1 values.

freq

A double indicating the frequency of the data.

Value

A vec containing GM values.

Author

James Balamuta The function takes a vector of GM values \(\beta\) and \(\sigma ^2_{gm}\) and transforms them to AR1 values \(\phi\) and \(\sigma ^2\) using the formulas: \(\phi = \exp \left( { - \beta \Delta t} \right)\) \({\sigma ^2} = \sigma _{gm}^2\left( {1 - \exp \left( { - 2\beta \Delta t} \right)} \right)\)