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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

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