Nothing
"tacvfARMA" <-
function(phi = numeric(0), theta = numeric(0), maxlag = 20, useCt = TRUE, sigma2 = 1)
{
if(useCt) {
dd <- function(x, y, ml) .C("tacvfARMA_C", as.double(x), as.integer(length(x)), as.double(y), as.integer(length(y)), as.integer(ml), res = double(ml+1))$res
return(sigma2*dd(phi, theta, maxlag))
}
p <- length(phi)
q <- length(theta)
maxlagp1 <- maxlag + 1
if(max(p, q) == 0) {
return(c(sigma2, numeric(maxlag)))
}
r <- max(p, q) + 1
b <- numeric(r)
C <- numeric(q + 1)
C[1] <- 1
theta2 <- c(-1, theta)
phi2 <- numeric(3 * r)
phi2[r] <- -1
if(p > 0) {
phi2[r + 1:p] <- phi
}
if(q > 0) {
for(k in 1:q) {
C[k + 1] <- - theta[k]
if(p > 0) {
for(i in 1:min(p, k)) {
C[k + 1] <- C[k + 1] + phi[i] * C[k + 1 - i]
}
}
}
}
for(k in 0:q) {
for(i in k:q) {
b[k + 1] <- b[k + 1] - theta2[i + 1] * C[i - k + 1]
}
}
if(p == 0) {
g <- c(b, numeric(maxlagp1))[1:maxlagp1]
return(g)
}
else if(p > 0) {
a <- matrix(numeric(r^2), ncol = r)
for(i in 1:r) {
for(j in 1:r) {
if(j == 1) {
a[i, j] <- phi2[r + i - 1]
}
else if(j != 1) {
a[i, j] <- phi2[r + i - j] + phi2[r + i + j -
2]
}
}
}
g <- solve(a, - b)
if(length(g) <= maxlag) {
g <- c(g, numeric(maxlagp1 - r))
for(i in (r + 1):maxlagp1) {
g[i] <- phi %*% g[i - 1:p]
}
return(sigma2*g[1:maxlagp1])
}
else if(length(g) >= maxlagp1) {
return(sigma2*g[1:maxlagp1])
}
}
}
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