armaStatistics {fSeries} | R Documentation |
A collection of functions for the analysis of the true ARMA
process. The first investigates the characteristic polynomial
and the second the true autocorrelation function.
The functions are:
1 | armaRoots | Roots of the characteristic ARMA polynomial, |
2 | armaTrueacf | True autocorrelation function of an ARMA process. |
armaRoots(coefficients, n.plot = 400, digits = 4, ...) armaTrueacf(model, lag.max = 20, type = "correlation", doplot = TRUE)
coefficients |
a numeric vector with the coefficients of the characterisitic polynomial. |
digits |
output precision, an integer value. |
doplot |
a logical. Should a plot be displayed? |
lag.max |
maximum number of lags at which to calculate the acf or pacf, an integer value by default 20. |
model |
a specification of the ARMA model with two elements:
model$ar is the vector of the AR coefficients, and
model$ma is the vector of the MA coefficients.
|
n.plot |
the number of data point to plot the unit circle; an integer value. |
type |
a character string, "correlation" to compute the true autocorrelation function, "partial" to compute the true partial autocorrelation function, or "both" if both functions are desired. The start of one of the strings will suffice. |
... |
arguments past to the plot function. |
armaRoots
returns a three column data frame with the real, the imaginary part
and the radius of the roots. The number of rows corresponds
to the coefficients.
armaTrueacf
returns a two column data frame with the lag and the correlation
function.
B.D. Ripley for the underlying ARMAacf
function,
Diethelm Wuertz for this R-port.
## armaRoots - xmpSeries("\nStart: Roots of the Characteristic Polynomial > ") # Calculate and plot the of an ARMA process: par(mfrow = c(2, 2), cex = 0.7) coefficients = c(-0.5, 0.9, -0.1, -0.5) armaRoots(coefficients) ## armaTrueacf - xmpSeries("\nNext: True ACF of an ARMA Process > ") model = list(ar = c(0.3, +0.3), ma = 0.1) armaTrueacf(model) model = list(ar = c(0.3, -0.3), ma = 0.1) armaTrueacf(model)