acf_sum: Helper Function for ARMA to WV Approximation

In simts: Time Series Analysis Tools

Helper Function for ARMA to WV Approximation

Description

Indicates where the minimum ARMAacf value is and returns that as an index.

Usage

acf_sum(ar, ma, last_tau, alpha = 0.99)

Arguments

ar	A vec containing the coefficients of the AR process
ma	A vec containing the coefficients of the MA process
last_tau	An int the Jth scale of 2^(1:J)
alpha	A double indicating the cutoff.

Value

A vec containing the wavelet variance of the ARMA process.

simts documentation built on Aug. 31, 2023, 5:07 p.m.