TacvfMA: Theoretical Autocovariances for Moving Average Process

In FitAR: Subset AR Model Fitting

Description

The theoretical autocovariance function of a MA(q) with unit variance is computed.

Usage

TacvfMA(theta, lag.max = 20)

Arguments

theta	q parameters in MA(q)
lag.max	number of lags required.

Details

The first q+1 values are determined using a matrix multiplication - avoiding a loop. The remaining values set to zero.

Value

Vector of length q+1 containing the autocovariances at lags 0,1,...,lag.max

Note

See Details in TacvfAR for why we prefer to use this algorithm instead of ARMAacf

Author(s)

A.I.McLeod and Y. Zhang

References

McLeod, A.I. and Zhang, Y. (2006), Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

See Also

ARMAacf, TacvfAR

Examples

TacvfMA(c(1.8,-0.9), 10)

FitAR documentation built on May 2, 2019, 3:22 a.m.