aacvf: Autocovariance of ARMA model

Description Usage Arguments Details Value See Also Examples

View source: R/itsmr.R

Description

Autocovariance of ARMA model

Usage

1
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

1
2
a = arma(Sunspots,2,0)
aacvf(a,40)

itsmr documentation built on Nov. 17, 2017, 7:27 a.m.