ARMAtoAR: Convert ARMA Process to Infinite AR Process

In astsa: Applied Statistical Time Series Analysis

Convert ARMA Process to Infinite AR Process

Description

Gives the π-weights in the invertible representation of an ARMA model.

Usage

ARMAtoAR(ar = 0, ma = 0, lag.max=20)

Arguments

ar	vector of AR coefficients
ma	vector of MA coefficients
lag.max	number of pi-weights desired

Value

A vector of coefficients.

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.

Examples

ARMAtoAR(ar=.9, ma=.5, 10)

astsa documentation built on Jan. 10, 2023, 1:11 a.m.