gen_ma1: Generate an Moving Average Order 1 (MA(1)) Process
In SMAC-Group/gmwm: Generalized Method of Wavelet Moments
Description
Usage
Arguments
Details
Value
Process Definition
Generation Algorithm
Examples
Description
Generate an MA(1) Process given θ and σ^2.
Usage
1
gen_ma1(N, theta = 0.3, sigma2 = 1)
Arguments
N
An integer for signal length.
theta
A double that contains moving average.
sigma2
A double that contains process variance.
Details
The function implements a way to generate the x[t] values without calling the general ARMA function.
Value
A vec containing the MA(1) process.
Process Definition
The Moving Average order 1 (MA(1)) process with non-zero parameter theta in (-1,+1)
and sigma^2 in R^{+}. This process is defined as:
x[t] = W[t] + theta*W[t-1]
,
where
W[t] ~ N(0,sigma^2) iid
Generation Algorithm
The function first generates a vector of white noise using gen_wn and then obtains the
MA values under the above equation.
The X[0] (first value of X[t]) is discarded.
Examples
1
gen_ma1(10, .2, 1.2)
SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.
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Description Usage Arguments Details Value Process Definition Generation Algorithm Examples
Description
Generate an MA(1) Process given θ and σ^2.
Usage
1 | gen_ma1(N, theta = 0.3, sigma2 = 1)
|
Arguments
N |
An |
theta |
A |
sigma2 |
A |
Details
The function implements a way to generate the x[t] values without calling the general ARMA function.
Value
A vec containing the MA(1) process.
Process Definition
The Moving Average order 1 (MA(1)) process with non-zero parameter theta in (-1,+1) and sigma^2 in R^{+}. This process is defined as:
x[t] = W[t] + theta*W[t-1]
, where
W[t] ~ N(0,sigma^2) iid
Generation Algorithm
The function first generates a vector of white noise using gen_wn and then obtains the
MA values under the above equation.
The X[0] (first value of X[t]) is discarded.
Examples
1 | gen_ma1(10, .2, 1.2)
|
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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