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