covgen {timsac}

Covariance Generation

Description

Produce the Fourier transform of a power gain function in the form of an autocovariance sequence.

Usage

  covgen(lag, f, gain, plot = TRUE)

Arguments

lag

desired maximum lag of covariance.

f

frequency f[i] (i=1,...,k), where k is the number of data points. By definition f[1] = 0.0 and f[k] = 0.5, f[i]'s are arranged in increasing order.

gain

power gain of the filter at the frequency f[i].

plot

logical. If TRUE (default), autocorrelations are plotted.

Value

acov

autocovariance.

acor

autocovariance normalized.

References

H.Akaike, E.Arahata and T.Ozaki (1975) Computer Science Monograph, No.5, Timsac74, A Time Series Analysis and Control Program Package (1). The Institute of Statistical Mathematics.

Examples

spec <- raspec(h = 100, var = 1, arcoef = c(0.64,-0.8), plot = FALSE)
covgen(lag = 100, f = 0:100/200, gain = spec)