arma.spec: Spectral Density of an ARMA Model

In astsa: Applied Statistical Time Series Analysis

Spectral Density of an ARMA Model

Description

Gives the ARMA spectrum, tests for causality, invertibility, and common zeros.

Usage

arma.spec(ar = 0, ma = 0, var.noise = 1, n.freq = 500,
          main='from specified model', frequency=1, ylim=NULL, plot=TRUE, ...)

Arguments

ar	vector of AR parameters
ma	vector of MA parameters
var.noise	variance of the noise
n.freq	number of frequencies
main	title of graphic
frequency	for seasonal models, adjusts the frequency scale
ylim	optional; specify limits for the y-axis
plot	if TRUE (default), produces a graphic
...	additional arguments

Details

The basic call is arma.spec(ar, ma) where ar and ma are vectors containing the model parameters. Use log='y' if you want the plot on a log scale. If the model is not causal or invertible an error message is given. If there are approximate common zeros, a spectrum will be displayed and a warning will be given; e.g., arma.spec(ar= .9, ma= -.9) will yield a warning and the plot will be the spectrum of white noise.

Value

freq	frequencies - returned invisibly
spec	spectral ordinates - returned invisibly

Author(s)

D.S. Stoffer

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.

Examples

arma.spec(ar = c(1, -.9), ma = .8)

arma.spec(ar = c(1, -.9), log='y')

arma.spec(ar = c(1, -.9), main='AR(2)', gg=TRUE, col=5, lwd=2)

arma.spec(ar=c(rep(0,11),.4), ma=.5, col=5, lwd=3, frequency=12)

astsa documentation built on May 29, 2024, 10:29 a.m.