ar2ma {FAVAR} | R Documentation |
ar2ma
Description
Convert auto regression (AR) coefficients to moving average (MA) coefficients
Usage
ar2ma(ar, p, n = 11, CharValue = TRUE)
Arguments
ar |
AR coefficients matrix which is k x kp dimension, k is numbers of variables, and no constant. |
p |
lags orders of AR. |
n |
lags orders of MA generated. |
CharValue |
logical value, whether compute character value. |
Details
the formula is,
A_s = F_1 * A_{s-1} + F_2 * A_{s-2} + ... + F_p * A_{s-p}
where A is MA coefficients, F is AR coefficients.
Value
a matrix which is MA coefficients.
Examples
require(vars)
data(Canada)
ar <- Bcoef(VAR(Canada, p = 2, type = "none"))
ar
ar2ma(ar, p = 2)
[Package FAVAR version 0.1.3 Index]