Summary
Estimates autocorrelation/autocovariance function for the ARMA model.
Unit
StatTimeSerAnalysis
Declaration
Procedure ARMAAcf(Phi, Theta: TVec; n: integer; ResultACF: TVec; Normalize: boolean = True);
| Parameter | Description |
|---|
| Phi | Stores Phi values for ARMA process. |
| Theta | Stores Theta values for ARMA process. |
| n | Number of lags to calculate. |
| Normalize | If true, ACF values are normalized by ACF[0]. If false, no normalization is performed and the ResultACF stores ACVF (gamma[0], gamma[1], ...gamma[n]) values. |
| ResultACF | Returns autocovarialce (gamma[0], gamma[1], ...) or autocorrelation (rho[0], rho[1], ...) function for the ARMA model.. |
Description
Estimates autocorrelation/autocovariance function for the ARMA model.
Categories
ARMA and ARIMA routines| Copyright 2008 Dew Research |
http://www.dewresearch.com