ARMAtoAR

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

Data sets and scripts to accompany Time Series Analysis and Its Applications: With R Examples (4th ed), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017, <DOI:10.1007/978-3-319-52452-8>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <DOI:10.1201/9780429273285>.

David Stoffer

astsa

Applied Statistical Time Series Analysis

ARMAtoAR function

<dl> <dt>ar</dt>
<dd>vector of AR coefficients</dd> <dt>ma</dt>
<dd>vector of MA coefficients</dd> <dt>lag.max</dt>
<dd>number of pi-weights desired</dd></dl>

Arguments

Convert ARMA Process to Infinite AR Process — ARMAtoAR

<dl>

 <dt>ar</dt>
<dd>vector of AR coefficients</dd>

 <dt>ma</dt>
<dd>vector of MA coefficients</dd>

 <dt>lag.max</dt>
<dd>number of pi-weights desired</dd>

</dl>

ARMAtoAR: Convert ARMA Process to Infinite AR Process

Description

Usage

Value

Arguments

References

Examples