meanvarcheck: Asymptotic covariance matrix of periodic mean

In GeoBosh/pcts: Periodically Correlated and Periodically Integrated Time Series

Asymptotic covariance matrix of periodic mean

Description

Asymptotic covariance matrix of periodic mean.

Usage

meanvarcheck(parmodel, n)

meancovmat(parmodel, n, cor = FALSE, result = "var")

Arguments

parmodel	a periodic model.
n	number of observations (TODO: need clarification here).
cor	if TRUE, return correlations
result	if "var", return the diagonal of the covariance matrix, otherwise return the matrix.

Details

Computes asymptotic covariance or correlation matrix of the periodic means.

Value

if result = "var" a matrix, otherwise a vector

Author(s)

Georgi N. Boshnakov

See Also

parcovmatlist

Examples

x <- arima.sim(list(ar=0.9), n=1000)
proba1 <- fitPM(c(3,2,2,2), x)

meancovmat(proba1, 100)
meancovmat(proba1, 100, cor = TRUE)
meancovmat(proba1, 100, result = "")
meancovmat(proba1, 100, cor = TRUE, result = "")

meanvarcheck(proba1, 100)

GeoBosh/pcts documentation built on Dec. 8, 2023, 9:57 p.m.