raspec {timsac} | R Documentation |
Compute power spectrum of ARMA process.
raspec(h, var, arcoef=NULL, macoef=NULL, log=FALSE, plot=TRUE)
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. |
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
.
raspec
gives the rational spectrum.
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
# 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))