sigex.getcycle: Compute AR and MA polynomials for Butterworth and Balanced...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Compute AR and MA polynomials for Butterworth and Balanced cycles

Description

Background: A stochastic cycle is a particular parametrization of an ARMA process, governed by its order, its persistency (rho), and its period (2/omega)

Usage

sigex.getcycle(cycle.order, rho, omega)

Arguments

cycle.order	Integer order of the cycle
rho	Persistency, a value between 0 and 1
omega	Frequency in units of pi, a value between 0 and 1. (The period is 2/omega)

Value

list object with cycle.AR and cycle.MA cycle.AR: full AR polynomial in format c(1,-phi1,...,-phip) cycle.MA: full MA polynomial in format c(1,theta1,...,thetaq)

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.