psd_arma: ARMA(p,q) spectral density function

In beyondWhittle: Bayesian Spectral Inference for Time Series

ARMA(p,q) spectral density function

Description

Evaluate the ARMA(p,q) spectral density at some frequencies freq in [0,pi), Note that no test for model stationarity is performed.

Usage

psd_arma(freq, ar, ma, sigma2 = 1)

Arguments

freq	numeric vector of frequencies to evaluate the psd, 0 <= freq < pi
ar	autoregressive coefficients of ARMA model (use numeric(0) for empty AR part)
ma	moving average coefficients of ARMA model (use numeric(0) for empty MA part)
sigma2	the model innovation variance

Details

See section 4.4 in the referenced book

Value

numeric vector of the (real-valued) spectral density values

References

P. J. Brockwell and R. Davis (1996) Time Series: Theory and Methods (Second Edition)

beyondWhittle documentation built on June 22, 2024, 11:35 a.m.