ar2ma function

ar2ma

Convert auto regression (AR) coefficients to moving average (MA) coefficients

ar2ma(ar, p, n = 11, CharValue = TRUE)

Arguments

• ar: AR coefficients matrix which is k x kp dimension, k is numbers of variables, and no constant.
• p: lags orders of AR.
• n: lags orders of MA generated.
• CharValue: logical value, whether compute character value.

Returns

a matrix which is MA coefficients.

Details

the formula is,

where A is MA coefficients, F is AR coefficients.

Examples

require(vars)
data(Canada)
ar <- Bcoef(VAR(Canada, p = 2, type = "none"))
ar
ar2ma(ar, p = 2)