corrma(timeslab)R Documentation

Calculate MA Parameters from Autocorrelations

Description

Calculate MA Parameters from Autocorrelations

Usage

corrma(rho,r0,q,maxit=100,del=1.e-5)

Arguments

rho Array of length {q} containing autocorrelations of lags ${tt{1}},...,{tt{q}}$.
r0 Real scalar containing the variance of the MA process.
q Integer containing order $q(>0)$.
maxit Integer containing the maximum number of iterations to use in Wilson's algorithm $(>0)$.
del Real scalar containing the convergence criterion to use in Wilson's algorithm $(>0)$.

Value

corrma returns a list containing the following three items:
beta Array of length {q} containing MA coefficients.
rvar Real scalar containing the error variance $&sigma^2$ of the MA process.
ier Integer variable indicating whether or not Wilson's algorithm converged (0 means yes, 1 means no).


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