autocov function

Theoretical autocovariances of an ARMA model

autocov computes the autocovariances of an ARMA model.

## S3 method for class 'stsm'
autocov(mdl, ...)

autocov(mdl, ...)

## S3 method for class 'um'
autocov(mdl, lag.max = 10, ...)

Arguments

• mdl: an object of class um or stsm.
• ...: additional arguments.
• lag.max: maximum lag for autocovariances.

Returns

A numeric vector.

Note

The I polynomial is ignored.

Examples

# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(b = b, C = C, s2v = c(lvl = 1469.619), s2u = c(irr = 15103.061))
autocov(stsm1)

ar1 <- um(ar = "1-0.8B")
autocov(ar1, lag.max = 13)