true.farma.aut.wge {tswge}

True FARMA autocorrelations

Description

Calculate the autocovariances and autocorrelations and optionally plot the true autocorrlations of a FARMA model

Usage

true.farma.aut.wge(d,phi=0,theta=0,lag.max=50,trunc=1000,vara=1,plot=TRUE)

Arguments

d

Fractional difference parameter

phi

vector of AR parameters of ARMA part of FARMA model

theta

vector of MA parameters of ARMA part of FARMA model using signs as given in the Woodward, Gray, and Elliott text

lag.max

Maximum lag at which the autocorrelations and autocovariances will be calculated

trunc

Number of terms used in sum

vara

White noise variance

plot

Logical: TRUE=plot, FALSE=no plot

Details

For fractional model use phi=theta=0

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, second editon" by Woodward, Gray, and Elliott

Examples

y=true.farma.aut.wge(d=.4,phi=c(0,-.8))