Description Usage Arguments Details Value Author(s) Examples
Compute the theoretical autocorrelation function for an ARMA process.
1 | ARMAacf_cpp(ar,ma,lag_max)
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ar |
A |
ma |
A |
lag_max |
A |
This is an implementaiton of the ARMAacf function in R. It is approximately 40x times faster. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.
x A matrix
listing values from 1...nx in one column and 1...1, 2...2,....,n...n, in the other
R Core Team and JJB
1 2 3 4 | # ARMA(2,1)
ARMAacf_cpp(c(1.0, -0.25), 1.0, lag_max = 10)
# ARMA(0,1)
ARMAacf_cpp(numeric(0), .35, lag_max = 10)
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