covgen

Produce the Fourier transform of a power gain function in the form of an
 autocovariance
 sequence.

Functions for statistical analysis, prediction and control of time
series based mainly on Akaike and Nakagawa (1988) <ISBN 978-90-277-2786-2>.

Masami Saga

timsac

Time Series Analysis and Control Package

covgen function

<dl> <dt>lag</dt>
<dd>desired maximum lag of covariance.</dd> <dt>f</dt>
<dd>frequency <code>f[i]</code> \((i=1,...,k)\), where \(k\) is the number
 of data points. By definition <code>f[1]</code> = 0.0 and <code>f[k]</code> = 0.5,
 <code>f[i]</code>'s are arranged in increasing order.</dd> <dt>gain</dt>
<dd>power gain of the filter at the frequency <code>f[i]</code>.</dd> <dt>plot</dt>
<dd>logical. If <code>TRUE</code> (default), autocorrelations are plotted.</dd></dl>

Arguments

Covariance Generation — covgen

<dl>

 <dt>lag</dt>
<dd>desired maximum lag of covariance.</dd>

 <dt>f</dt>
<dd>frequency <code>f[i]</code> \((i=1,...,k)\), where \(k\) is the number
 of data points. By definition <code>f[1]</code> = 0.0 and <code>f[k]</code> = 0.5,
 <code>f[i]</code>'s are arranged in increasing order.</dd>

 <dt>gain</dt>
<dd>power gain of the filter at the frequency <code>f[i]</code>.</dd>

 <dt>plot</dt>
<dd>logical. If <code>TRUE</code> (default), autocorrelations are plotted.</dd>

</dl>

covgen: Covariance Generation

Description

Usage

Value

Arguments

References

Examples