ImpulseVMA {portes} | R Documentation |
The Impulse Response Function in the Infinite MA or VMA Representation
Description
The impulse coefficients are computed.
Usage
ImpulseVMA(ar=NULL,ma=NULL,trunc.lag=NULL)
Arguments
ar |
a numeric or an array of |
ma |
a numeric or an array of |
trunc.lag |
truncation lag is used to truncate the infinite |
Value
The impulse response coefficients of order trunc.lag+1
obtained by
converting the ARMA
(p,q)
or VARMA
(p,q)
process to infinite MA
or VMA
process, respectively.
Author(s)
Esam Mahdi and A.I. McLeod.
References
Lutkepohl, H. (2005). "New introduction to multiple time series analysis". Springer-Verlag, New York.
Reinsel, G. C. (1997). "Elements of Multivariate Time Series Analysis". Springer-Verlag, 2nd edition.
See Also
ARMAtoMA
, varima.sim
, vma.sim
,
InvertQ
Examples
#####################################################################
### Impulse response coefficients from AR(1,1) to infinite MA process.
### The infinite process is truncated at lag 20
###
k <- 1
trunc.lag <- 20
ar <- 0.7
ma <- array(-0.9,dim=c(k,k,1))
ImpulseVMA(ar,ma,trunc.lag)
#####################################################################
### Impulse response coefficients from VAR(2) to infinite VMA process
### The infinite process is truncated at default lag value = p+q
###
k <- 2
ar <- array(c(0.5,0.4,0.1,0.5,0,0.3,0,0),dim=c(k,k,2))
ma <- NULL
ImpulseVMA(ar,ma)
#####################################################################
### Impulse response coefficients from VARMA(2,1) to infinite VMA process
### The infinite process is truncated at lag 50
###
k <- 2
ar <- array(c(0.5,0.4,0.1,0.5,0,0.25,0,0),dim=c(k,k,2))
ma <- array(c(0.6,0,0.2,0.3),dim=c(k,k,1))
ImpulseVMA(ar,ma,trunc.lag=50)
[Package portes version 6.0 Index]