ARMACOV Call
computes an autocovariance sequence for an ARMA model
- CALL ARMACOV( auto, cross, convol, phi, theta,
num);
The inputs to the ARMACOV subroutine are as follows:
- phi
- refers to a matrix
containing the autoregressive parameters.
The first element is assumed to have the value 1.
- theta
- refers to a matrix
containing the moving-average parameters.
The first element is assumed to have the value 1.
- num
- refers to a scalar containing , the number of
autocovariances to be computed, which must be a positive number.
The ARMACOV subroutine returns the following values:
- auto
- specifies a variable to contain the returned
matrix containing the autocovariances of the specified ARMA
model, assuming unit variance for the innovation sequence.
- cross
- specifies a variable to contain the returned
matrix containing the covariances of the
moving-average term with lagged values of the process.
- convol
- specifies a variable to contain the returned
matrix containing the
autocovariance sequence of the moving-average term.
The ARMACOV subroutine computes the autocovariance
sequence that corresponds to a given autoregressive
moving-average (ARMA) time series model.
An arbitrary number of terms in the sequence can be requested.
Two related covariance sequences are also returned.
The model notation for the ARMACOV
and
ARMALIK subroutines is the same.
The ARMA
model is denoted
with
.
The notation is the same as that of Box and Jenkins
(1976) except that the model parameters are opposite in sign.
The innovations
satisfy
and
if
= 0, and are zero otherwise.
The formula for the
th element
of the
convol argument is
for
.
The formula for the
th element of the
cross argument is
for
, where
is the
th impulse response value.
The
sequence, if desired, can
be computed with the RATIO function.
It can be shown that
is the same as
, which is used by Box and
Jenkins (1976, p. 75) in their formulation of the autocovariances.
The
th autocovariance, denoted
and
returned as the
element of the
auto argument
, is defined implicitly for
by
where
is the
th element of the
cross argument.
See Box and Jenkins (1976) or McLeod (1975) for more information.
Consider the model
To compute the autocovariance function at lags zero through four
for this model, use the following statements:
/* an arma(1,1) model */
phi ={1 -0.5};
theta={1 0.8};
call armacov(auto,cross,convol,phi,theta,5);
print auto,,cross convol;
The result is as follows:
AUTO
3.2533333 2.4266667 1.2133333 0.6066667 0.3033333
CROSS CONVOL
2.04 0.8 1.64 0.8