Name

agf — autocovariance generating function

CALLING SEQUENCE

ac = agf(w,AR,MA)

PARAMETERS

Input

• w = point where to evaluate

• AR = matrix of AR coefficients AR = [A1 .. Ap]

• MA = matrix of MA coefficients MA = [B1 .. Bq]

Output

• ac = AGF for VARMA

DESCRIPTION

Evaluates autocovariance generating function for AR and MA at point w.

EXAMPLE


ac= agf(w,[0.1 0.2],[0.43 0.21])

               

AUTHOR

Emmanuel Michaux 2005