acf2arma: Determine ARMA model by ACF

In szcf-weiya/weiyaTSA: Implement Algoritms in TSA

Description

Given Auto-Covariance Function to determine the parameter of ARMA model

Usage

acf2arma(x,p,q)

Arguments

x	the sequence of auto-covariance function values
p	the degree of AR model
q	the degree of MA model

Value

ARcoeff	the coefficients of AR model
MAcoeff	the coefficients of MA model
VarNoise	the variance of noise

Author(s)

weiya

Examples

x = c(4.61, -1.06, 0.29, 0.69, -0.12)
acf2arma(x,2,2)

szcf-weiya/weiyaTSA documentation built on May 31, 2019, 12:50 a.m.