psi.weights.wge {tswge}

Calculate psi weights for an ARMA model

Description

Given the coefficients of the AR and MA parts of an ARMA model, this function calculates the psi weights

Usage

psi.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 psi(1), psi(2), ..., psi(lag.max). Note that psi(0)=1.

Value

A vector containing psi(1), ..., psi(lag.max)

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

psi.weights.wge(phi=c(1.2,-.6), theta=.5, lag.max=5)