arma.spec {astsa}R Documentation

Spectral Density of an ARMA Model

Description

Gives the ARMA spectrum, tests for causality, invertibility, and common zeros.

Usage

arma.spec(ar = 0, ma = 0, var.noise = 1, n.freq = 500, log="n", ...)

Arguments

ar

vector of AR parameters

ma

vector of MA parameters

var.noise

variance of the noise

n.freq

number of frequencies

log

plot spectra on a log-scale; default is 'no'

...

additional arguments

Details

The basic call is arma.spec(ar, ma) where ar and ma are vectors containing the model parameters. Use log="yes" if you want the plot on a log scale. If the model is not causal or invertible an error message is given. If there are common zeros, a spectrum will be displayed and a warning will be given; e.g., arma.spec(ar= .9, ma= -.9) will yield a warning and the plot will be the spectrum of white noise.

Value

freq

frequencies - returned invisibly

spec

spectral ordinates - returned invisibly

Author(s)

D.S. Stoffer

References

http://www.stat.pitt.edu/stoffer/tsa4/ and http://www.stat.pitt.edu/stoffer/tsda/

Examples

arma.spec(ar = c(1, -.9), ma = .8)

[Package astsa version 1.9 Index]