extract_arma: Extract underlying ARMA process.

In garma: Fitting and Forecasting Gegenbauer ARMA Time Series Models

Extract underlying ARMA process.

Description

For a Gegenbauer process, transform to remove Gegenbauer long memory component to get a short memory (ARMA) process.

Usage

extract_arma(x, ggbr_factors)

Arguments

x	(num) This should be a numeric vector representing the Gegenbauer process.
ggbr_factors	(class) Each element of the list represents a Gegenbauer factor and includes f, u and fd elements.

Value

An object of same class as x. Any time series attributes of x are copied to the returned object.

Examples

data(AirPassengers)
ap <- as.numeric(diff(AirPassengers, 12))
# find semiparametric estimates of the Gegenbauer parameters.
sp <- ggbr_semipara(ap)
# extract the underlying short-memory ARMA process
ap_arma <- extract_arma(ap, sp)
summary(arima(ap_arma, order = c(1, 0, 0)))

garma documentation built on April 4, 2025, 2:13 a.m.