Generate_filterMA function

Generate the Filter of a multivariate MA process

Generate_filterMA(d.ts, d.n, MA.len = 3, ma.scale = rep(1, MA.len),
  a.smooth.coef = 0, seed = 1)

Arguments

• d.ts: dimension of the (output) time series
• d.n: dimension of the noise that is filtered
• MA.len: Length of the filter. Set to 3 by default.
• ma.scale: scaling factor of each lag matrix. See details.
• a.smooth.coef: A coefficient to shrink coefficients of filter. Set to 0 by default.
• seed: The random seed used to generate the filter. Set to 1 by default.

Returns

A d.ts x d.n x MA.len array

Details

Generates a filter (i.e. a d.ts x d.n x MA.len array) for a moving average process. The entries of the filter are generate randomly, but can be reproduced by specifying the random seed seed.

The ma.scale parameter should be a vector of length MA.len, and corresponds to a scaling factor applied to each lag of the filter of the MA process that is generated.

Examples

ma.scale1=c(-1.4,2.3,-2)
a1=Generate_filterMA(10, 10, MA.len=3, ma.scale=ma.scale1, seed=10)
str(a1)
rm(a1)