View source: R/psi.weights.wge.R
psi.weights.wge | R Documentation |
Given the coefficients of the AR and MA parts of an ARMA model, this function calculates the psi weights
psi.weights.wge(phi = 0, theta = 0, lag.max = 5)
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 psi(1), psi(2), ..., psi(lag.max). Note that psi(0)=1. |
A vector containing psi(1), ..., psi(lag.max)
Wayne Woodward
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
psi.weights.wge(phi=c(1.2,-.6), theta=.5, lag.max=5)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.