true.farma.aut.wge: True FARMA autocorrelations

In tswge: Time Series for Data Science

True FARMA autocorrelations

Description

Calculate the autocovariances and autocorrelations and optionally plot the true autocorrlations of a FARMA model

Usage

true.farma.aut.wge(d,phi=0,theta=0,lag.max=50,trunc=1000,vara=1,plot=TRUE)

Arguments

d	Fractional difference parameter
phi	vector of AR parameters of ARMA part of FARMA model
theta	vector of MA parameters of ARMA part of FARMA model using signs as given in the Woodward, Gray, and Elliott text
lag.max	Maximum lag at which the autocorrelations and autocovariances will be calculated
trunc	Number of terms used in sum
vara	White noise variance
plot	Logical: TRUE=plot, FALSE=no plot

Details

For fractional model use phi=theta=0

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, second editon" by Woodward, Gray, and Elliott

Examples

y=true.farma.aut.wge(d=.4,phi=c(0,-.8))

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