psi.weights: Compute psi weights for an ARMA model

In wqmeeker/RTseries: Interactive Time Series Analysis Tools

Compute psi weights for an ARMA model

Description

Computes the coefficients of the (potentially) infinite moving average (MA) model representation of an ARMA model (using the Box-Jenkins convention for the sign of the MA coefficients). These coefficients can also be viewed as the impulse response function of the ARMA model.

Usage

psi.weights(ar = numeric(), ma = numeric(), lag.max = 10)

Arguments

ar	Vector of autoregressive (AR) coefficients (default is none).
ma	Vector of moving average (MA) coefficients (default is none).
lag.max	number of psi weights to compute

Value

A vector of lag.max coefficients.

Examples

psi.weights(ar=0.5)
psi.weights(ar=0.5, ma=-0.5)
psi.weights(ar=0.9, ma=-0.9)
psi.weights(ar=0.99)
psi.weights(ar=0.5, ma=0.5)

wqmeeker/RTseries documentation built on Dec. 31, 2022, 10 a.m.