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