true.arma.aut.wge: True ARMA autocorrelations

In tswge: Time Series for Data Science

True ARMA autocorrelations

Description

R function to calculate the autocovariances and autocorrelations and optionally plot the true autocorrelations of a stationary ARMA model

Usage

true.arma.aut.wge(phi = 0, theta = 0, lag.max = 25, vara = 1,plot=TRUE)

Arguments

phi	Vector containing AR coefficients
theta	Vector containing MA coefficients
lag.max	Maximum lag at which to calculate the true autocorrelations
vara	White noise variance of the ARMA model
plot	Logical: TRUE=plot, FALSE=no plot

Value

acf	Vector of length max.lag+1 containing true autocorrelations at lags 0, 1, ..., lag.max
acv	Vector of length max.lag+1 containing true autocovariances at lags 0, 1, ..., lag.max

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

true.arma.aut.wge(phi=c(1.6,-.9),theta=-.8,lag.max=15,vara=1) 

tswge documentation built on Feb. 16, 2023, 6:51 p.m.