pi.weights.wge {tswge} | R Documentation |
Calculate pi weights for an ARMA model
Description
Given the coefficients of the AR and MA parts of an ARMA model, this function calculates the pi weights
Usage
pi.weights.wge(phi = 0, theta = 0, lag.max =5)
Arguments
phi |
Vector of AR coefficients (as in "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott (uses Box and Jenkins notation)) |
theta |
Vector of MA coefficients (as in ATSA and Box Jenkins texts) |
lag.max |
The function will calculates psi weights pi(1), pi(2), ..., pi(lag.max). Note that psi(0)=1. |
Value
A vector containing pi(1), ..., pi(lag.max)
Author(s)
Wayne Woodward
References
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
Examples
pi.weights.wge(phi=c(1.2,-.6), theta=.5, lag.max=5)
[Package tswge version 2.1.0 Index]