R: Rational Spectrum

raspec {timsac} | R Documentation

## Rational Spectrum

### Description

Compute power spectrum of ARMA process.

### Usage

      raspec(h, var, arcoef = NULL, macoef = NULL, log = FALSE, plot = TRUE)

### Arguments

`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(`raspec`).
`plot` | logical. If `TRUE` (default), the spectrum is plotted.

### Details

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`.

### Value

`raspec` gives the rational spectrum.

### References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

### Examples

    # 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))

[Package timsac version 1.3.6 Index]