arima_sum: Sum ARIMA Models

In palatej/rjd3toolkit: Utility Functions around 'JDemetra+ 3.0'

Sum ARIMA Models

Description

Sum ARIMA Models

Usage

arima_sum(...)

Arguments

...	list of ARIMA models (created with arima_model()).

Details

Adds several Arima models, considering that their innovations are independent. The sum of two Arima models is computed as follows: the auto-regressive parts (stationary and non stationary of the aggregated model are the smaller common multiple of the corresponding polynomials of the components. The sum of the acf of the modified moving average polynomials is then computed and factorized, to get the moving average polynomial and innovation variance of the sum.

Value

a "JD3_ARIMA" model.

Examples

mod1 <- arima_model(ar = c(0.1, 0.2), delta = 0, ma = 0)
mod2 <- arima_model(ar = 0, delta = 0, ma = c(0.4))
arima_sum(mod1, mod2)

palatej/rjd3toolkit documentation built on Oct. 30, 2024, 10:46 p.m.