Description Usage Arguments Value Details Examples

Generate the Filter of a multivariate MA process

1 2 | ```
Generate_filterMA(d.ts, d.n, MA.len = 3, ma.scale = rep(1, MA.len),
a.smooth.coef = 0, seed = 1)
``` |

`d.ts` |
dimension of the (output) time series |

`d.n` |
dimension of the noise that is filtered |

`MA.len` |
Length of the filter. Set to 3 by default. |

`ma.scale` |
scaling factor of each lag matrix. See details. |

`a.smooth.coef` |
A coefficient to shrink coefficients of filter. Set to 0 by default. |

`seed` |
The random seed used to generate the filter. Set to 1 by default. |

A `d.ts x d.n x MA.len`

array

Generates a filter (i.e. a `d.ts x d.n x MA.len`

array) for a moving
average process. The entries of the filter are generate randomly, but can be
reproduced by specifying the random seed `seed`

.

The `ma.scale`

parameter should be a vector of length `MA.len`

,
and corresponds to a scaling factor applied to each lag of the filter of the
MA process that is generated.

1 2 3 4 | ```
ma.scale1=c(-1.4,2.3,-2)
a1=Generate_filterMA(10, 10, MA.len=3, ma.scale=ma.scale1, seed=10)
str(a1)
rm(a1)
``` |

```
num [1:10, 1:10, 1:3] -1.413 -1.271 -0.44 -0.981 -1.606 ...
```

ftsspec documentation built on May 1, 2019, 7:04 p.m.

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