plotts.true.wge: Plot of generated data, true autocorrelations and true spectral density for ARMA model
Description
For a given ARMA model, this function plots a realization, the true autocorrelations, and the true spectral density. This plot is typical of many plots in Applied Time Series Analysis by Woodward, Gray, and Elliott. For example, see Figure 1.21 and Figure 3.23.
Usage
plotts.true.wge(n=100, phi=0, theta=0, lag.max=25, vara = 1)
Value
data
Realization of length n that is generated from the ARMA model
aut1
True autocorrelations from the ARMA model for lags 0 to lag.max
acv
True autocovariances from the ARMA model for lags 0 to lag.max
spec
Spectral density (in dB) for the ARMA model calculated at frequencies f=0, .002, .004, ...., .5
Arguments
n
Length of time series realization to be generated. Default is 100
phi
Vector containing AR parameters
theta
Vector containing MA parameters
lag.max
Maximum lag for calculating and plotting autocorrelations
vara
White noise variance: default=1
Author
Wayne Woodward
References
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott