

corrma(timeslab)                             R Documentation

_C_a_l_c_u_l_a_t_e _M_A _P_a_r_a_m_e_t_e_r_s _f_r_o_m _A_u_t_o_c_o_r_r_e_l_a_t_i_o_n_s

_D_e_s_c_r_i_p_t_i_o_n_:

     Calculate MA Parameters from Autocorrelations

_U_s_a_g_e_:

     corrma(rho,r0,q,maxit=100,del=1.e-5)

_A_r_g_u_m_e_n_t_s_:

     rho: Array of length {`q'} containing autocorrelations
          of lags ${t{1}},...,{t{q}}$.

      r0: Real scalar containing the variance of the MA pro-
          cess.

       q: Integer containing order $q(>0)$.

   maxit: Integer containing the maximum number of itera-
          tions to use in Wilson's algorithm $(>0)$.

     del: Real scalar containing the convergence criterion
          to use in Wilson's algorithm $(>0)$.

_V_a_l_u_e_:

  corrma: returns a list containing the following three
          items:

    beta: Array of length {`q'} containing MA coefficients.

    rvar: Real scalar containing the error variance
          $sigma^2$ of the MA process.

     ier: Integer variable indicating whether or not Wil-
          son's algorithm converged (0 means yes, 1 means
          no).

