covgen {timsac} | R Documentation |
Produce the Fourier transform of a power gain function in the form of an autocovariance sequence.
covgen(lag, f, gain, plot=TRUE)
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. |
acov |
autocovariance. |
acor |
autocovariance normalized. |
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.
spec <- raspec(h=100, var=1, arcoef=c(0.64,-0.8), plot=FALSE) covgen(lag=100, f=0:100/200, gain=spec)