Description Usage Arguments Examples
This function computes a vector of output values from the auto-covariance/auto-correlation function for a stationary auto-regressive
moving-average (ARMA) model. The user specifies the vector size n
and the function returns a vector of auto-covariance/
auto-correlation values at all lags Lag[0], ... , Lag[n-1]
. The function requires the model to be stationary, which means that
the vector of auto-regression coefficients must give an auto-regressive characteristic polynomial with roots outside the unit circle.
1 | ARMA.autocov(n, ar = numeric(0), ma = numeric(0), corr = FALSE)
|
n |
Positive integer giving the number of consecutive values in the time-series (output is a vector of length |
ar |
Vector of auto-regressive coefficients (all roots of AR characteristic polynomial must be outside the unit circle) |
ma |
Vector of moving-average coefficients |
corr |
Logical; if |
1 2 3 4 5 6 |
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