psd_varma {beyondWhittle}R Documentation

VARMA(p,q) spectral density function

Description

Evaluate the VARMA(p,q) spectral density at some frequencies freq in [0,pi). Note that no test for model stationarity is performed.

Usage

psd_varma(freq, ar = matrix(nrow = nrow(Sigma), ncol = 0),
  ma = matrix(nrow = nrow(Sigma), ncol = 0), Sigma)

Arguments

freq

numeric vector of frequencies to evaluate the psd, 0 <= freq < pi

ar

autoregressive coeffient matrix (d times p*d) of VARMA model, defaults to empty VAR component

ma

moving average coeffient matrix (d times p*d) of VARMA model, defaults to empty VAR component

Sigma

positive definite innovation covariance matrix (d times d)

Details

See section 11.5 in the referenced book

Value

an array containing the values of the varma psd matrix at freq

References

P. J. Brockwell and R. Davis (1996) Time Series: Theory and Methods (Second Edition)


[Package beyondWhittle version 1.1.1 Index]