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 \pi-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. For an ARMA model \phi(B) x_t = \theta(B) w_t, returns the coefficients \{\pi_j; \, j=1, 2, ...\} in the invertible representation w_t = \pi(B) x_t.

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 Aug. 21, 2025, 5:47 p.m.