corrma(timeslab) | R Documentation |
Calculate MA Parameters from Autocorrelations
corrma(rho,r0,q,maxit=100,del=1.e-5)
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 $(>0)$. |
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). |