arma_to_ma function

MA Representation of an ARMA Model

Calculate the coefficients of the infinite-order MA-representation of a given ARMA model.

arma_to_ma(ar = numeric(0), ma = numeric(0), max_i = 1000)

Arguments

• ar: a numeric vector with the AR parameters of the ARMA model; should be ordered from $a_1$ to $a_p$ (see Details).
• ma: a numeric vector with the MA parameters of the ARMA model; should be ordered from $b_1$ to $b_q$ (see Details).
• max_i: a single numeric value that indicates how many coefficients should be returned; returned will be max_i + 1 coefficients (the coefficient for index 0 is also returned as the first value).

Returns

A numeric vector is returned.

Details

Consider an ARMA model

where $a_1, ..., a_p$ and $b_1, ..., b_q$ are its real-valued coefficients. The function arma_to_ar() uses these coefficients as input to calculate the coefficients of the truncated infinite-order MA-representation of the model defined through these coefficients. Note that the stationarity and invertibility of the model defined through the provided coefficients is not being checked.

NOTE:

This function implements C++ code by means of the Rcpp and RcppArmadillo packages for better performance.

Examples

ar <- c(1.2, -0.4)
ma <- c(0.5)
arma_to_ma(ar = ar, ma = ma, max_i = 100)

Author(s)

• Dominik Schulz (Research Assistant) (Department of Economics, Paderborn University),

  Author and Package Creator