Wold: Wold representation theorem
In GabauerDavid/ConnectednessApproach: Connectedness Approach
Wold R Documentation
Wold representation theorem
Description
Transform VAR to VMA coefficients
Usage
Wold(x, nfore = 10)
Arguments
x
VAR coefficients
nfore
H-step ahead forecast horizon
Value
Get VMA coefficients
Author(s)
David Gabauer
Examples
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)
GabauerDavid/ConnectednessApproach documentation built on March 5, 2025, 11:17 a.m.
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| Wold | R Documentation |
Wold representation theorem
Description
Transform VAR to VMA coefficients
Usage
Wold(x, nfore = 10)
Arguments
x |
VAR coefficients |
nfore |
H-step ahead forecast horizon |
Value
Get VMA coefficients
Author(s)
David Gabauer
Examples
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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