ARMAauto: compute the autocovariance function of an ARMA process
In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction
ARMAauto R Documentation
compute the autocovariance function of an ARMA process
Description
Background: function computes autocovariances of ARMA (p,q) from lag zero
to lag.max, with inputs ar and ma. Format:
(1 - ar[1]z ... - ar[p]z^p) X_t = (1 + ma[1]z ...+ ma[q]z^q) WN
For absent AR or MA portions, pass in NULL
Usage
ARMAauto(ar = NULL, ma = NULL, lag.max)
Arguments
ar
numeric vector of AR coefficients
ma
numeric vector of MA coefficients
lag.max
Largest autocovariance lag required
Value
autocovariances at lags 0 through lag.max
jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.
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| ARMAauto | R Documentation |
compute the autocovariance function of an ARMA process
Description
Background: function computes autocovariances of ARMA (p,q) from lag zero to lag.max, with inputs ar and ma. Format: (1 - ar[1]z ... - ar[p]z^p) X_t = (1 + ma[1]z ...+ ma[q]z^q) WN For absent AR or MA portions, pass in NULL
Usage
ARMAauto(ar = NULL, ma = NULL, lag.max)
Arguments
ar |
numeric vector of AR coefficients |
ma |
numeric vector of MA coefficients |
lag.max |
Largest autocovariance lag required |
Value
autocovariances at lags 0 through lag.max
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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