| ARMAtoMA {stats} | R Documentation |
Convert ARMA Process to Infinite MA Process
Description
Convert ARMA process to infinite MA process.
Usage
ARMAtoMA(ar = numeric(), ma = numeric(), lag.max)
Arguments
ar |
numeric vector of AR coefficients |
ma |
numeric vector of MA coefficients |
lag.max |
Largest MA(Inf) coefficient required. |
Value
A vector of coefficients.
References
Brockwell PJ, Davis RA (1991). Time Series: Theory and Methods, series Springer Series in Statistics. Springer New York. ISBN 9780387974293.
See Also
Examples
ARMAtoMA(c(1.0, -0.25), 1.0, 10)
## Example from Brockwell & Davis (1991, p.92)
## answer (1 + 3*n)*2^(-n)
n <- 1:10; (1 + 3*n)*2^(-n)
[Package stats version 4.6.0 Index]