void ARMAAcf(TVec *Phi, TVec *Theta, const int n, TVec *ResultACF, const bool Normalize = true);
Estimates autocorrelation/autocovariance function for the ARMA model.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Phi | TVec * | Stores Phi values for ARMA process, without the initial 1. |
| 2 | Theta | TVec * | Stores Theta values for ARMA process, without the initial 1. |
| 3 | n | const int | Number of lags to calculate. |
| 4 | ResultACF | TVec * | Returns autocovarialce (gamma[0], gamma[1], ...) or autocorrelation (rho[0], rho[1], ...) function for the ARMA model.. |
| 5 | Normalize = true | const bool | If true, ACF values are normalized by ACF[0]. If false, no normalization is performed and the ResultACF stores ACVF (gamma[0], gamma[1], ...gamma[n]) values. |
Remarks:
Estimates autocorrelation/autocovariance function for the ARMA model.
See Also: StatTimeSerAnalysis::ARMAKappa
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler