armacorr(timeslab)R Documentation

Calculate ARMA Autocorrelation Function

Description

Calculate ARMA Autocorrelation Function

Usage

armacorr(alpha,beta,rvar=1,m)

Arguments

alpha Array of length $p$ containing AR coefficients $Valpha$.
beta Array of length $q$ containing MA coefficients $Vbeta$.
rvar Real scalar containing error variance $&sigma^2(>0)$.
m Integer $(>=max(p,q))$ containing the number of autocorrelations to calculate.

Value

var Real scalar containing variance of process.
corr Array of length {m} containing autocorrelations $rho(1), ..., rho(m)$
ier Integer variable indicating whether or not the ARMA process is stationary (0 means yes, anything else means no).


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