Fit a PC-ARMA model to a periodic autocovariance function

Fit a PC-ARMA model to a periodic autocovariance function.

Usage

pcarma_acvf2model(acf, model, maxlag)

Arguments

acf: a periodic autocovariance function, an object of class pcAcvf.
model: a pc- arma model, an object of class pcARMApq. (todo: check!)
maxlag: not used. (todo: check!)

Value

~Describe the value returned If it is a LIST, use

comp1: Description of 'comp1'
comp2: Description of 'comp2'

...

References

Boshnakov GN (1996). “Recursive computation of the parameters of periodic autoregressive moving-average processes.” J. Time Ser. Anal., 17(4), 333--349. ISSN 0143-9782, doi: 10.1111/j.1467-9892.1996.tb00281.x .

Author

Georgi N. Boshnakov

Examples

data(ex1f)
pc3 <- slMatrix(period=2,maxlag=5,f=ex1f,type="tt")
# pcarma_param_system(pc3, NULL, NULL, 2, 0, 2)
parsys <- pcarma_param_system(pc3, NULL, NULL, c(2,2), 0, 2)
param <- solve(parsys$A,parsys$b)

# res <- pcarma_acvf2model(pc3, list(p=c(1,2),q=0,period=2))
# res <- pcarma_acvf2model(pc3, list(p=c(1,2),q=0))
# res <- pcarma_acvf2model(pc3, list(p=c(1,2),period=2))
res <- pcarma_acvf2model(pc3, list(p=c(1,2)))

print(param)
#> [1] 0.3439000 0.8100000 0.0000000 0.1049724 0.4972376 0.4972376
print(res)
#> $p
#> [1] 1 2
#> 
#> $q
#> [1] 0 0
#> 
#> $si2
#> [1] 0.3439000 0.1049724
#> 
#> $phi
#>           [,1]      [,2]
#> [1,] 0.8100000 0.0000000
#> [2,] 0.4972376 0.4972376
#>