arma_to_ar {esemifar} | R Documentation |
AR Representation of an ARMA Model
Description
Output has representation with positive signs (on the right-hand side of the equation); inputs are both with positive signs (on right-hand side of equation).
Usage
arma_to_ar(ar = numeric(0), ma = numeric(0), max_i = 1000)
Arguments
ar |
the AR-coefficient series ordered by lag. |
ma |
the MA-coefficient series ordered by lag. |
max_i |
the maximum index up until which to return the coefficient series. |
Details
Consider the ARMA model
where are the innovations.
,
, are the AR-coefficients to pass to the
argument
ar
, ,
, are the MA-coefficients
to pass to the argument
ma
.The function then returns the coefficients
from the corresponding infinite-order AR-representation
where ,
, are the coefficients. Following this
notation,
by definition.
Value
A numeric vector is returned.
Author(s)
Dominik Schulz (Scientific Employee) (Department of Economics, Paderborn University),
Author
Examples
arma_to_ar(ar = 0.75, ma = 0.5, max_i = 100)