pcts (version 0.15.8)

pcarma_acvf2model: 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)

Value

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

comp1

Description of 'comp1'

comp2

Description of 'comp2'

...

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!)

Author

Georgi N. Boshnakov

References

boshnakov1996pcarmapcts

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)