true.arma.spec.wge: True ARMA Spectral Density

In tswge: Time Series for Data Science

True ARMA Spectral Density

Description

R function to calculate and optionally plot the spectral density of a stationary ARMA model

Usage

true.arma.spec.wge(phi=0,theta=0, vara=1,plot=TRUE)

Arguments

phi	Vector containing AR coefficients
theta	Vector containing MA coefficients
vara	White noise variance of the ARMA model
plot	Logical: TRUE=plot, FALSE=no plot

Value

f	Frequencies at which true spectral density is evaluated: 0, 1/500, 2/500, ..., .5
spec	True spectral density calculated at the frequencies in f

Author(s)

Wayne Woodward

References

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

Examples

true.arma.spec.wge(phi=c(1.6,-.9), theta=.7) 

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