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 a1 to ap (see Details).
ma: a numeric vector with the MA parameters of the ARMA model; should be ordered from b1 to bq (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).
where a1,...,ap and b1,...,bq 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),