arfima.coefs: Coefficients of an ARFIMA(p,d,q) model

In PPMiss: Copula-Based Estimator for Long-Range Dependent Processes under Missing Data

Coefficients of an ARFIMA(p,d,q) model

Description

This function calculates the coefficients c_k, k \geq 0 corresponding to \theta(z)\phi^{-1}(z)(1-z)^{-d} = \sum_{k = 0}^{\infty}c_k z^k, up to a truncation point

Usage

arfima.coefs(ar = NULL, ma = NULL, d = 0, trunc = 1)

Arguments

ar	the coefficients of the autoregressive polinomial. Default is NULL
ma	the coefficients of the moving average polinomial. Default is null
d	the long memory parameter. Default is 0.
trunc	the truncation point. Default is 1.

Value

The coefficients values up to order ‘trunc’.

Examples

cks <- arfima.coefs(d = 0.3, trunc = 5)
cks

cks <- arfima.coefs(d = 0.1, trunc = 5, ar = 0.5, ma = 0.6)
cks

PPMiss documentation built on Sept. 8, 2023, 5:58 p.m.