ARMAacvf: Computes the autocovariance function of a causal ARMA(p,q)...

In gregorkb/tscourse: Contains several functions for time series analysis.

Computes the autocovariance function of a causal ARMA(p,q) process.

Description

Computes the autocovariance function of a causal ARMA(p,q) process.

Usage

ARMAacvf(phi = NULL, theta = NULL, sigma = 1, max.lag = 12,
  trun = 500)

Arguments

phi	a vector with autoregressive coefficients.
theta	a vector the moving average coefficients.
sigma	the white noise variance.
max.lag	the number of lags at which to return the value of the autocovariance function.
trun	the order at which to truncate the MA(Inf) representation of the causal ARMA(p,q) process.

Value

A vector containing the values of the autocovariance function at lags 0 through max.lag.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.