timsac (version 1.3.0)

covgen: 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)