Stata 15 help for mf_arfimapsdensity


[M-5] arfimapsdensity() -- Parametric spectral density functions


real matrix arfimapsdensity(real scalar n, real colvector phi, real colvector theta, real scalar d, real scalar v, real scalar pspectrum, |real vector range)


arfimapsdensity(n, phi, theta, d, v, pspectrum, |range) computes the parametric spectral density of an autoregressive fractionally integrated moving-average (ARFIMA) process defined by the autoregressive parameters, phi, the moving-average parameters, theta, the fractional integration parameter, d, and the idiosyncratic error variance, v.


arfimapsdensity() returns an n x 2 matrix containing the spectral density in the first column and the frequencies in the second column. The parametric spectrum is computed if pspectrum != 0. By default, range = (0,pi()). The spectral density of an ARMA process is obtained when d = 0.


arfimapsdensity(n, phi, theta, d, v, pspectrum, |range): n: 1 x 1 phi: p x 1 theta: q x 1 d: 1 x 1 v: 1 x 1 pspectrum: 1 x 1 range: 2 x 1 or 1 x 2 result: n x 2


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. range, if specified, must be in [0,pi()].

Source code


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