psd_varma: VARMA(p,q) spectral density function

In beyondWhittle: Bayesian Spectral Inference for Time Series

VARMA(p,q) spectral density function

Description

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

Usage

psd_varma(
  freq,
  ar = matrix(nrow = nrow(Sigma), ncol = 0),
  ma = matrix(nrow = nrow(Sigma), ncol = 0),
  Sigma
)

Arguments

freq	numeric vector of frequencies to evaluate the psd, 0 <= freq < pi
ar	autoregressive coeffient matrix (d times p*d) of VARMA model, defaults to empty VAR component
ma	moving average coeffient matrix (d times p*d) of VARMA model, defaults to empty VAR component
Sigma	positive definite innovation covariance matrix (d times d)

Details

See section 11.5 in the referenced book

Value

an array containing the values of the varma psd matrix at freq

References

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

beyondWhittle documentation built on May 31, 2023, 6:51 p.m.