pcarma_acvf2model {pcts}

Fit a PC-ARMA model to a periodic autocovariance function

Description

Fit a PC-ARMA model to a periodic autocovariance function.

Usage

pcarma_acvf2model(acf, model, maxlag)

Arguments

acf

a periodic autocovariance function, an object of class pcAcvf.

model

a pc- arma model, an object of class pcARMApq. (todo: check!)

maxlag

not used. (todo: check!)

Value

~Describe the value returned If it is a LIST, use

comp1

Description of 'comp1'

comp2

Description of 'comp2'

...

Author(s)

Georgi N. Boshnakov

References

Boshnakov GN (1996). “Recursive computation of the parameters of periodic autoregressive moving-average processes.” J. Time Ser. Anal., 17(4), 333–349. ISSN 0143-9782, doi:10.1111/j.1467-9892.1996.tb00281.x.

Examples

data(ex1f)
pc3 <- slMatrix(period=2,maxlag=5,f=ex1f,type="tt")
# pcarma_param_system(pc3, NULL, NULL, 2, 0, 2)
parsys <- pcarma_param_system(pc3, NULL, NULL, c(2,2), 0, 2)
param <- solve(parsys$A,parsys$b)

# res <- pcarma_acvf2model(pc3, list(p=c(1,2),q=0,period=2))
# res <- pcarma_acvf2model(pc3, list(p=c(1,2),q=0))
# res <- pcarma_acvf2model(pc3, list(p=c(1,2),period=2))
res <- pcarma_acvf2model(pc3, list(p=c(1,2)))

print(param)
print(res)