ARMAacf_cpp: Compute Theoretical ACF for an ARMA Process

In schoi355/gmwm: Generalized Method of Wavelet Moments

Compute Theoretical ACF for an ARMA Process

Description

Compute the theoretical autocorrelation function for an ARMA process.

Usage

ARMAacf_cpp(ar,ma,lag_max)

Arguments

ar	A vector of length p containing AR coefficients
ma	A vector of length q containing MA coefficients
lag_max	A unsigned integer indicating the maximum lag necessary

Details

This is an implementaiton of the ARMAacf function in R. It is approximately 40x times faster. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.

Value

x A matrix listing values from 1...nx in one column and 1...1, 2...2,....,n...n, in the other

Author(s)

R Core Team and JJB

Examples

# ARMA(2,1)
ARMAacf_cpp(c(1.0, -0.25), 1.0, lag_max = 10)
# ARMA(0,1)
ARMAacf_cpp(numeric(0), .35, lag_max = 10)

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.