pcme.paperex {pcme}R Documentation

Example periodic autocovariances

Description

Periodic autocovariances used in the referenced paper and in the examples in thispackage for illustration of maximum entropy completion.

Usage

data(pcme.paperex)

Format

A list of five 4 x 2 matrices, each (possibly) representing periodic autocovariances of a periodically correlated time series with period T=2. The "possibly" qualifier is used because it may not be possible to complete these to complete periodic autocovariance sequences.

The ordering is the season-lag ordering used for all function in package pcme. Let R_k(l)=Cov(X(k),X(k-l)) for k=1,2 and l=0,1,2,3. Then the arrangement of the autocorrelations in each matrix is as follows:
R_1(0) R_1(1) R_1(2) R_1(3)
R_2(0) R_2(1) R_2(2) R_2(3)

Source

~~ reference to a publication or URL from which the data were obtained ~~

References

Boshnakov, Georgi and Lambert-Lacroix, Sophie (2009?) Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients. Journal of Time Series Analysis (to appear)

Lambert-Lacroix, Sophie (2005) Extension of autocovariance coefficients sequence for periodically correlated processes. Journal of Time Series Analysis, 26, No. 6, 423-435.

See Also

pcme

Examples

data(pcme.paperex)
names(pcme.paperex)
pcme.paperex$rex1

[Package pcme version 0.51 Index]