ARMAtoMA_cpp: Converting an ARMA Process to an Infinite MA Process

In coatless/r-to-armadillo: R-based using the Armadillo C++ Matrix Library

Converting an ARMA Process to an Infinite MA Process

Description

Takes an ARMA function and converts it to an infinite MA process.

Usage

ARMAtoMA_cpp(ar, ma, lag_max)

Arguments

ar	A column vector of length p
ma	A column vector of length q
lag_max	A int of the largest MA(Inf) coefficient required.

Details

This function is a port of the base stats package's ARMAtoMA. There is no significant speed difference between the two.

Value

A column vector containing coefficients

Author(s)

R Core Team and JJB

Examples

# ARMA(2,1)
ARMAtoMA_cpp(c(1.0, -0.25), 1.0, 10)
# ARMA(0,1)
ARMAtoMA_cpp(numeric(0), 1.0, 10)

coatless/r-to-armadillo documentation built on Nov. 16, 2023, 5:32 a.m.