ARMAtoMAinf: Gives coefficients of causal representation of a causal...

In gregorkb/tscourse: Contains several functions for time series analysis.

Gives coefficients of causal representation of a causal ARMA(p,q) model.

Description

Gives coefficients of causal representation of a causal ARMA(p,q) model.

Usage

ARMAtoMAinf(phi = NULL, theta = NULL, trun = 500)

Arguments

phi	a vector with autoregressive coefficients.
theta	a vector the moving average coefficients.
trun	the number of terms to keep in the causal representation of the model

Value

a vector containing the first trun+1 moving average coefficients in the causal representation of the ARMA(p,q) model This function recursively computes the coefficients in the MA(Inf) representation of the causal ARMA(p,q) model.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.