macoef.geg.wge: Calculate coefficients of the general linear process form of...

In tswge: Time Series for Data Science

Calculate coefficients of the general linear process form of a Gegenbauer process

Description

Calculate coefficients of the general linear process form of a Gegenbauer process based on formula (8), page 6 of Ferrara and Guegan(2001).

Usage

macoef.geg.wge(u, lambda, trun = 300000)

Arguments

u	The value of u in the Gegenbauer model
lambda	The value of lambda in the Gegenbauer model
trun	The truncation point of the infinite GLP form

Details

This function is called by gen.geg.wge

Value

A vector of length trun containing the GLP coefficients

Author(s)

Wayne Woodward

References

Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott and Ferrara and Guegan(2001)

Examples

mageg=macoef.geg.wge(u=.8,lambda=.3)

tswge documentation built on Feb. 16, 2023, 6:51 p.m.