R/memeory.R

In yanyachen/arimaMisc: Time Series Analysis Miscellaneous Tools

#' @title Compute memory function of ARMA process
#'
#' @description
#' Compute memory function of ARMA process.
#'
#' @param ar AR parameters
#' @param ma MA parameters
#' @param lag lag
#' @return parameters of memory function
#' @export

memory <- function(ar=0,ma=0,lag){
  p <- length(ar)
  q <- length(ma)
  theta <- rep(0,lag+1)
  theta[1] <- 1
  theta[2:(q+1)] <- ma
  phi <- rep(0,lag+1)
  phi[1] <- 1
  phi[2:(p+1)] <- ar
  psi <- rep(0,lag+1)
  psi[1] <- 1

  for (k in 1:lag){
    psi[1+k] <- sum(phi[1+1:k]*psi[k:1]) + theta[1+k]
  }
  
  return(psi)
}