inverse.form: inverse.form

In marima: Multivariate ARIMA and ARIMA-X Analysis

Description

Calculation of inverse form for arma model

Usage

inverse.form(ar.poly, ma.poly, L)

Arguments

ar.poly	=autoregressive matrix part of model (array(k, k, ar-order)).
ma.poly	=moving average matrix part of model (array(k, k, ma-order)).
L	=order of return polynomial (length=L+1 including leading unity matrix).

Value

inverse form for arma model up to order L (array(k, k, L+1)).

Examples

set.seed(4711)
p1  <- check.one(matrix(rnorm(16), nrow=4))
p2  <- check.one(array(rnorm(32),dim=c(4, 4, 2)))
inverse <- inverse.form(ar.poly=p1, ma.poly=p2, L=6)
short.form(inverse)

marima documentation built on May 2, 2019, 2:10 p.m.