vma.sim: Compute The Vector of Moving Average Model (VMA)

Description Usage Arguments Value Author(s) References See Also Examples

Description

This utility function is useful to use in the function varima.sim and may used to compute the coefficients of moving-average or vector moving-average.

Usage

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vma.sim(psi, a)

Arguments

psi

the impulse coefficients.

a

innovations

Value

Vector of length n (in the univariate case), or n matrices (in the multivariate case), where n = length(a)-length(Ψ) and n\times k is the dimension of the series.

Author(s)

Esam Mahdi and A.I. McLeod.

References

Hannan, E.J. (1970). "Multiple Time Series". New York: Wiley.

Hipel, K.W. and McLeod, A.I. (2005). "Time Series Modelling of Water Resources and Environmental Systems".

See Also

convolve, varima.sim, arima.sim, ImpulseVMA, InvertQ, fitstable

Examples

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k <- 2
n <- 300
trunc.lag <-  50   
phi <-  array(c(0.5,0.4,0.1,0.5),dim=c(k,k,1))
theta <-  array(c(0,0.25,0,0),dim=c(k,k,1))
sigma <- matrix(c(1,0.71,0.71,2),k,k)
p <- ifelse(is.null(phi),0,dim(phi)[3])
q <- ifelse(is.null(theta),0,dim(theta)[3])
r <- max(p, q)
d <- trunc.lag + r
psi <- ImpulseVMA(phi = phi, theta = theta, trunc.lag = trunc.lag)
a <- t(crossprod(chol(sigma),matrix(rnorm(k*d),ncol=d)))
vma.sim(psi = psi, a = a)

portes documentation built on May 29, 2017, 11:14 p.m.

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