StatTimeSerAnalysis.ARMAAcf Function

Estimates autocorrelation/autocovariance function for the ARMA model.

Pascal

procedure ARMAAcf(const Phi: TVec; const Theta: TVec; const n: integer; const ResultACF: TVec; const Normalize: boolean = True);

Parameters	Description
Phi	Stores Phi values for ARMA process, without the initial 1.
Theta	Stores Theta values for ARMA process, without the initial 1.
n	Number of lags to calculate.
ResultACF	Returns autocovarialce (gamma[0], gamma[1], ...) or autocorrelation (rho[0], rho[1], ...) function for the ARMA model..
Normalize	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.

Estimates autocorrelation/autocovariance function for the ARMA model.