covgen {timsac}R Documentation

Covariance Generation

Description

Produce the Fourier transform of a power gain function in the form of an autocovariance sequence.

Usage

  covgen(lag, f, gain, plot=TRUE)

Arguments

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.

Value

acov autocovariance.
acor autocovariance normalized.

References

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.

Examples

  spec <- raspec(h=100, var=1, arcoef=c(0.64,-0.8), plot=FALSE)
  covgen(lag=100, f=0:100/200, gain=spec)

[Package timsac version 1.2.1 Index]