Stata 15 help for mf_arfimaacf
Title
[M5] arfimaacf()  Autocovariance functions
Syntax
real colvector arfimaacf(real scalar n, real colvector phi, real
colvector theta, real scalar d, real scalar v)
Description
arfimaacf(n, phi, theta, d, v) computes the autocovariance function (ACF)
of an autoregressive fractionally integrated movingaverage (ARFIMA)
process defined by the autoregressive parameters, phi, the movingaverage
parameters, theta, the fractional integration parameter, d, and the
idiosyncratic error variance, v.
Remarks
arfimaacf() returns a vector of length n+1, where the first element is
the variance of the ARFIMA or ARMA process and elements k = 2, ..., n+1
are the autocovariances of the timeseries process k1 time units apart.
The ACF of an ARMA process is obtained when d = 0.
Conformability
arfimaacf(n, phi, theta, d, v):
n: 1 x 1
phi: p x 1
theta: q x 1
d: 1 x 1
v: 1 x 1
result: n+1 x 1
Diagnostics
The AR(p) and MA(q) polynomials defined by phi and theta must have roots
outside the unit circle, and the two polynomials may not have common
roots. The fractional integration parameter must be in (1,1/2). The
variance parameter, v, must be greater than zero.
Source code
arfimaacf.mata
