acv_arma: Compute a theoretical autocovariance function of ARMA process

In tsPI: Improved Prediction Intervals for ARIMA Processes and Structural Time Series

Compute a theoretical autocovariance function of ARMA process

Description

Function acv_arma computes a theoretical autocovariance function of ARMA process.

Usage

acv_arma(phi, theta, n)

Arguments

phi	vector containing the AR parameters
theta	vector containing the MA parameters
n	length of the time series

Value

vector of length n containing the autocovariances

See Also

dacv_arma.

Examples

## Example from Brockwell & Davis (1991, page 92-94)
## also in help page of ARMAacf (from stats)
n <- 0:9
answer <- 2^(-n) * (32/3 + 8 * n) /(32/3)
acv <- acv_arma(c(1.0, -0.25), 1.0, 10)
all.equal(acv/acv[1], answer)

tsPI documentation built on Sept. 4, 2023, 5:06 p.m.