weakARMA (version 1.0.3)

acf.gamma_m: Computation of autocovariance and autocorrelation for an ARMA residuals.

Description

Computes empirical autocovariances and autocorrelations function for an ARMA process for lag max given.

Usage

acf.gamma_m(ar = NULL, ma = NULL, y, h, e = NULL)

Arguments

ar

Vector of AR coefficients. If NULL, it is a MA process.

ma

Vector of MA coefficients. If NULL, it is a AR process.

y

Univariate time series.

h

Computes autocovariances and autocorrelations from lag 1 to lag h with h an integer.

e

Vector of residuals. If NULL, the function will compute it.

Value

A list with :

gamma_m

Vector of the autocovariances.

rho_m

Vector of the autocorrelations.

See Also

acf.univ for autocorrelation and autocovariance for only one given lag h.

Examples

# NOT RUN {
param.estim <- estimation(p = 1,  q = 1, y = CAC40return.sq)
# }
# NOT RUN {
acf.gamma_m(ar = param.estim$ar, ma = param.estim$ma, y = CAC40return.sq,  h = 20)
# }
# NOT RUN {
# }