tswge (version 2.1.0)

true.garma.aut.wge: True GARMA autocorrelations

Description

Calculate the autocovariances and autocorrelations and optionally plot the true autocorrelations of a 1-factor based on formula(11.25) of "Applied Time Series Analysis with R, second editon" Woodward, Gray, and Elliott

Usage

true.garma.aut.wge(u,lambda,phi=0,theta=0,lag.max=50,vara=1,plot=TRUE)

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

Arguments

u

Parameter u in the GARMA model given in (11.16) of Woodward, Gray, and Elliott text

lambda

Parameter lambda in the GARMA model given in (11.16) of Woodward, Gray, and Elliott text

phi

vector of AR parameters of ARMA part of GARMA model

theta

vector of MA parameters of ARMA part of GARMA 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

vara

White noise variance

plot

Logical: TRUE=plot, FALSE=no plot

Author

Wayne Woodward

Details

For Gegenbauer model use phi=theta=0

References

"Applied Time Series Analysis with R, second editon" by Woodward, Gray, and Elliott

Examples

y=true.garma.aut.wge(u=.8,lambda=.4,phi=.8)