Spectral Density of an ARMA Model
Gives the ARMA spectrum, tests for causality, invertibility, and common zeros.
arma.spec(ar = 0, ma = 0, var.noise = 1, n.freq = 500, log="n", type=NULL, ...)
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' |
type |
type of plot to be drawn, defaults to lines |
... |
additional arguments |
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.
freq |
frequencies - returned invisibly |
spec |
spectral ordinates - returned invisibly |
D.S. Stoffer
arma.spec(ar = c(1, -.9), ma = .8)
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