Theoretical Autocovariances for Moving Average Process
The theoretical autocovariance function of a MA(q) with unit variance is computed.
TacvfMA(theta, lag.max = 20)
theta |
q parameters in MA(q) |
lag.max |
number of lags required. |
The first q+1 values are determined using a matrix multiplication - avoiding a loop. The remaining values set to zero.
Vector of length q+1 containing the autocovariances at lags 0,1,...,lag.max
A.I.McLeod and Y. Zhang
McLeod, A.I. and Zhang, Y. (2006), Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
TacvfMA(c(1.8,-0.9), 10)
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