arfima.coefs {PPMiss} | R Documentation |
Coefficients of an ARFIMA(p,d,q) model
Description
This function calculates the coefficients c_k, k \geq 0
corresponding to
\theta(z)\phi^{-1}(z)(1-z)^{-d} = \sum_{k = 0}^{\infty}c_k z^k
,
up to a truncation point
Usage
arfima.coefs(ar = NULL, ma = NULL, d = 0, trunc = 1)
Arguments
ar |
the coefficients of the autoregressive polinomial. Default is NULL |
ma |
the coefficients of the moving average polinomial. Default is null |
d |
the long memory parameter. Default is 0. |
trunc |
the truncation point. Default is 1. |
Value
The coefficients values up to order ‘trunc’.
Examples
cks <- arfima.coefs(d = 0.3, trunc = 5)
cks
cks <- arfima.coefs(d = 0.1, trunc = 5, ar = 0.5, ma = 0.6)
cks
[Package PPMiss version 0.1.1 Index]