R: Compute a theoretical autocovariance function of ARMA process
acv_arma
R Documentation
Compute a theoretical autocovariance function of ARMA process
Description
Function acv_arma computes a theoretical autocovariance function of ARMA process.
Usage
acv_arma(phi, theta, n)
Arguments
phi
vector containing the AR parameters
theta
vector containing the MA parameters
n
length of the time series
Value
vector of length n containing the autocovariances
See Also
dacv_arma.
Examples
## Example from Brockwell & Davis (1991, page 92-94)
## also in help page of ARMAacf (from stats)
n <- 0:9
answer <- 2^(-n) * (32/3 + 8 * n) /(32/3)
acv <- acv_arma(c(1.0, -0.25), 1.0, 10)
all.equal(acv/acv[1], answer)