aacvf: Autocovariance of ARMA model
In itsmr: Time Series Analysis Using the Innovations Algorithm
aacvf R Documentation
Autocovariance of ARMA model
Description
Autocovariance of ARMA model
Usage
aacvf(a, h)
Arguments
a
ARMA model
h
Maximum lag
Details
The ARMA model is a list with the following components.
phi
Vector of AR coefficients (index number equals coefficient subscript)
theta
Vector of MA coefficients (index number equals coefficient subscript)
sigma2
White noise variance
Value
Returns a vector of length h+1 to accomodate lag 0 at index 1.
See Also
arma
Examples
a = arma(Sunspots,2,0)
aacvf(a,40)
itsmr documentation built on Aug. 6, 2022, 9:08 a.m.
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| aacvf | R Documentation |
Autocovariance of ARMA model
Description
Autocovariance of ARMA model
Usage
aacvf(a, h)
Arguments
a |
ARMA model |
h |
Maximum lag |
Details
The ARMA model is a list with the following components.
phi | Vector of AR coefficients (index number equals coefficient subscript) |
theta | Vector of MA coefficients (index number equals coefficient subscript) |
sigma2 | White noise variance |
Value
Returns a vector of length h+1 to accomodate lag 0 at index 1.
See Also
arma
Examples
a = arma(Sunspots,2,0) aacvf(a,40)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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