pi.weights.wge: Calculate pi weights for an ARMA model

In tswge: Time Series for Data Science

Calculate pi weights for an ARMA model

Description

Given the coefficients of the AR and MA parts of an ARMA model, this function calculates the pi weights

Usage

pi.weights.wge(phi = 0, theta = 0, lag.max =5)

Arguments

phi	Vector of AR coefficients (as in "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott (uses Box and Jenkins notation))
theta	Vector of MA coefficients (as in ATSA and Box Jenkins texts)
lag.max	The function will calculates psi weights pi(1), pi(2), ..., pi(lag.max). Note that psi(0)=1.

Value

A vector containing pi(1), ..., pi(lag.max)

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

pi.weights.wge(phi=c(1.2,-.6), theta=.5, lag.max=5)

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