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)
Value
A vector of coefficients. For an ARMA model \(\phi(B) x_t = \theta(B) w_t\), returns the
coefficients \(\{\pi_j; \, j=1, 2, ...\} \) in the invertible representation \(w_t = \pi(B) x_t\).
Arguments
ar
vector of AR coefficients
ma
vector of MA coefficients
lag.max
number of pi-weights desired
References
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