true.arma.aut.wge {tswge}

True ARMA autocorrelations

Description

R function to calculate the autocovariances and autocorrelations and optionally plot the true autocorrelations of a stationary ARMA model

Usage

true.arma.aut.wge(phi = 0, theta = 0, lag.max = 25, vara = 1,plot=TRUE)

Arguments

phi

Vector containing AR coefficients

theta

Vector containing MA coefficients

lag.max

Maximum lag at which to calculate the true autocorrelations

vara

White noise variance of the ARMA model

plot

Logical: TRUE=plot, FALSE=no plot

Value

acf

Vector of length max.lag+1 containing true autocorrelations at lags 0, 1, ..., lag.max

acv

Vector of length max.lag+1 containing true autocovariances at lags 0, 1, ..., lag.max

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

true.arma.aut.wge(phi=c(1.6,-.9),theta=-.8,lag.max=15,vara=1)