corrarma(timeslab)R Documentation

Calculate ARMA Parameters from Autocorrelations

Description

Calculate ARMA Parameters from Autocorrelations

Usage

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

Arguments

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

Value

alpha Array of length {p} containing AR coefficients.
beta Array of length {q} containing MA coefficients.
rvar Real scalar containing the error variance $&sigma^2$.
ier Integer variable containing an error/convergence indicator. The following values are possible:
0 ~~ {CORRARMA} successfully found the ARMA parameters.
1 ~~ A singular matrix was encountered trying to find AR parameters.
2 ~~ Wilson's algorithm for finding the MA parameters didn't converge.


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