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 = NULL, 
           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; default is "ARMA" with orders "(p, q)"
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 April 4, 2025, 12:40 a.m.