raspec {timsac}R Documentation

Rational Spectrum

Description

Compute power spectrum of ARMA process.

Usage

  raspec(h, var, arcoef=NULL, macoef=NULL, log=FALSE, plot=TRUE)

Arguments

h specify frequencies i/2h (i=0,1,...,h).
var variance.
arcoef AR coefficients.
macoef MA coefficients.
log logical. If TRUE the spectrum is plotted as log(sepc).
plot logical. If TRUE (default) the spectrum is plotted.

Details

ARMA process :

y(t) - a(1)y(t-1) -...- a(p)y(t-p) = u(t) - b(1)u(t-1) -...- b(q)u(t-q)

where p is AR order, q is MA order and u(t) is a white noise with zero mean and variance equal to var.

Value

raspec gives the rational spectrum.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

  # Example 1 for the AR model
  raspec(h=100, var=1, arcoef=c(0.64,-0.8))

  # Example 2 for the MA model
  raspec(h=20, var=1, macoef=c(0.64,-0.8))

[Package timsac version 1.2.1 Index]