raspec: Rational Spectrum

In timsac: Time Series Analysis and Control Package

Rational Spectrum

Description

Compute power spectrum of ARMA process.

Usage

  raspec(h, var, arcoef = NULL, macoef = NULL, log = FALSE, plot = TRUE)

Arguments

h	specify frequencies i/2h (i=0,1,\ldots,h).
var	variance.
arcoef	AR coefficients.
macoef	MA coefficients.
log	logical. If TRUE, the spectrum is plotted as log(raspec).
plot	logical. If TRUE (default), the spectrum is plotted.

Details

ARMA process :

y(t) - a(1)y(t-1) - \ldots - a(p)y(t-p) = u(t) - b(1)u(t-1) - \ldots - b(q)u(t-q)

where p is AR order, q is MA order and u(t) is a white noise with zero mean and variance equal to var.

Value

raspec gives the rational spectrum.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

# Example 1 for the AR model
raspec(h = 100, var = 1, arcoef = c(0.64,-0.8))

# Example 2 for the MA model
raspec(h = 20, var = 1, macoef = c(0.64,-0.8))

timsac documentation built on Sept. 30, 2023, 5:06 p.m.