autocov.stsm {tfarima} | R Documentation |
autocov
computes the autocovariances of an ARMA model.
## S3 method for class 'stsm'
autocov(mdl, ...)
autocov(mdl, ...)
## S3 method for class 'um'
autocov(mdl, lag.max = 10, ...)
mdl |
an object of class |
... |
additional arguments. |
lag.max |
maximum lag for autocovariances. |
A numeric vector.
The I polynomial is ignored.
# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(b = b, C = C, s2v = c(lvl = 1469.619), s2u = c(irr = 15103.061))
autocov(stsm1)
ar1 <- um(ar = "1-0.8B")
autocov(ar1, lag.max = 13)