astsa (version 1.10)

ARMAtoAR: Convert ARMA Process to Infinite AR Process

Description

Gives the \(\pi\)-weights in the invertible representation of an ARMA model.

Usage

ARMAtoAR(ar = 0, ma = 0, lag.max=20)

Arguments

ar

vector of AR coefficients

ma

vector of MA coefficients

lag.max

number of pi-weights desired

Value

A vector of coefficients.

References

http://www.stat.pitt.edu/stoffer/tsa4/ and http://www.stat.pitt.edu/stoffer/tsda/

Examples

# NOT RUN {
ARMAtoAR(ar=.9, ma=.5, 10)
# }

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