extract_arma function

Extract underlying ARMA process.

For a Gegenbauer process, transform to remove Gegenbauer long memory component to get a short memory (ARMA) process.

extract_arma(x, ggbr_factors)

Arguments

• x: (num) This should be a numeric vector representing the Gegenbauer process.
• ggbr_factors: (class) Each element of the list represents a Gegenbauer factor and includes f, u and fd elements.

Returns

An object of same class as x. Any time series attributes of x are copied to the returned object.

Examples

data(AirPassengers)
ap <- as.numeric(diff(AirPassengers, 12))
# find semiparametric estimates of the Gegenbauer parameters.
sp <- ggbr_semipara(ap)
# extract the underlying short-memory ARMA process
ap_arma <- extract_arma(ap, sp)
summary(arima(ap_arma, order = c(1, 0, 0)))