sdfarma: ARMA spectral density function

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

The spectral density function is evaluated at the Fourier frequencies, 2*pi*seq(from=1/n, to=1/2, by=1/n) for the ARMA model.

Usage

sdfarma(n, phi = numeric(0), theta = numeric(0))

Arguments

n	length of series, number of Fourier frequencies is [n/2]
phi	autoregressive coefficients
theta	moving-average coefficients

Value

vector of spectral density values corresponding to the Fourier frequencies

Author(s)

A. I. McLeod

Examples

sdfarma(100, 0.9, 0.7)

Example output

 [1] 1.0894144 0.6646784 0.4362311 0.3204215 0.2571848 0.2197245 0.1959618
 [8] 0.1800356 0.1688790 0.1607776 0.1547180 0.1500720 0.1464347 0.1435357
[15] 0.1411892 0.1392643 0.1376665 0.1363266 0.1351924 0.1342246 0.1333926
[22] 0.1326729 0.1320465 0.1314986 0.1310171 0.1305921 0.1302158 0.1298814
[29] 0.1295835 0.1293175 0.1290796 0.1288664 0.1286752 0.1285037 0.1283499
[36] 0.1282121 0.1280887 0.1279786 0.1278805 0.1277937 0.1277172 0.1276504
[43] 0.1275927 0.1275437 0.1275028 0.1274698 0.1274444 0.1274264 0.1274157
[50] 0.1274121

FGN documentation built on May 30, 2017, 7:19 a.m.