R: Covariance Generation

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 1.3.5 Index]