d_to_coef {esemifar} | R Documentation |
Filter Coefficients of the Fractional Differencing Operator
Description
Output is with positive signs on the left-hand side of the equation.
Usage
d_to_coef(d, max_i = 1000)
Arguments
d |
the fractional differencing coefficient. |
max_i |
the maximum index up until which to return the coefficient series. |
Details
Consider the FARIMA model
where are the innovations and where
.
is the fractional differencing
coefficient.
The fractional differencing operator can alternatively be expressed
as an infinite coefficient series, so that
where is the backshift operator and where
,
,
are the coefficients. Note that
by definition.
The function returns the series of coefficients .
Value
A numeric vector is returned.
Author(s)
Dominik Schulz (Scientific Employee) (Department of Economics, Paderborn University),
Author
Examples
d_to_coef(d = 0.3, max_i = 100)
[Package esemifar version 2.0.1 Index]