VARMAauto: Computes autocovariances of VARMA
In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction
VARMAauto R Documentation
Computes autocovariances of VARMA
Description
Computes autocovariances of VARMA
Usage
VARMAauto(phi, theta, sigma, maxlag)
Arguments
phi
Array of dimension m x m x p of VAR coefficients, e.g.,
phi <- array(cbind(phi1,phi2,...,phip),c(m,m,p))
theta
Array of dimension m x m x q of VMA coefficients, e.g.,
theta <- array(cbind(theta1,theta2,...,thetaq),c(m,m,q))
sigma
An m x m covariance matrix of white noise
maxlag
Final lag of autocovariance needed.
Value
The autocovariances at lags 0 through maxlag,
as array of dimension m x m x (maxlag+1)
jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.
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| VARMAauto | R Documentation |
Computes autocovariances of VARMA
Description
Computes autocovariances of VARMA
Usage
VARMAauto(phi, theta, sigma, maxlag)
Arguments
phi |
Array of dimension m x m x p of VAR coefficients, e.g., phi <- array(cbind(phi1,phi2,...,phip),c(m,m,p)) |
theta |
Array of dimension m x m x q of VMA coefficients, e.g., theta <- array(cbind(theta1,theta2,...,thetaq),c(m,m,q)) |
sigma |
An m x m covariance matrix of white noise |
maxlag |
Final lag of autocovariance needed. |
Value
The autocovariances at lags 0 through maxlag, as array of dimension m x m x (maxlag+1)
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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