Computing the ACF of an ARMA process

If the roots of the denominator polynomial are inside the unit circle, the ACF of the ARMA process, $ r_t$, will go to zero for $ t>L$ for some $ L$. Let $ A_k$ and $ B_k$ be the DFT of $ a_i$ and $ b_i$ padded to length $ 2L$. Then the circular power spectrum of size $ 2L$ is

$\displaystyle \rho_k = \sigma^2 \; \frac{\vert B_k\vert^2}{\vert A_k\vert^2}, \;\;\;\; 0\leq k \leq 2L.$ (9.14)


$\displaystyle r_t = \frac{1}{N} \sum_{k=0}^{2L} \; \rho_k \; e^{j2\pi k t / (2L)}.$ (9.15)

The first $ L$ values of $ r_t$ will be accurate approximations to the true ACF. In MATLAB:
    A=fft([a(:); zeros(2*L-P-1,1)]);
    B=fft([b(:); zeros(2*L-Q-1,1)]);
    h = B2./A2;
    rho = sig2 * h;
    r = real(ifft(rho));
One only needs to increase $ L$ until the condition is met that the ACF dies to zero before $ L$. See figure 9.2.
Figure: Computing ACF with the DFT. Upper panel, $ N$ too small. Lower panel $ N$ large enough.
\includegraphics[width=4.5in,height=3.0in, clip]{acf_arma.eps}

Baggenstoss 2017-05-19