This function collapses the polynomials of an ARIMA model into two polynomials: the product of the autoregressive polynomials and the product of the moving average polynomials.
an object of class
A list containing the elements:
arcoefs, the coefficients of the product of the
macoefs, the coefficients of the product of the
moving average polynomials.
This list is of class
"ArimaPars" so that it can be recognized by
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# ARIMA(0,1,1)(0,1,1) model fit <- arima(log(AirPassengers), order = c(0,1,1), seasonal = list(order = c(0,1,1))) coefs <- coef(fit) # "coefs2poly" returns the coefficients of the product of # the non-seasonal and the seasonal moving average polynomials a1 <- convolve(c(1, coefs), rev(c(1, rep(0, 11), coefs)), type="open")[-1] a2 <- coefs2poly(fit)$macoefs a2 all.equal(a1, a2, check.names=FALSE) # since the model does not contain an autoregressive part # the product of the regular and the seasonal differencing # filter is returned if "add = TRUE" coefs2poly(fit)$arcoefs # an empty set is returned if "add = FALSE" coefs2poly(fit, add = FALSE)$arcoefs # in a model with non-seasonal part and no differencing filter # no multiplication of polynomials are involved and # the coefficients are the same as those returned by "coef" fit <- arima(log(AirPassengers), order = c(1,0,1)) coef(fit) coefs2poly(fit)
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