tswge (version 2.1.0)

pi.weights.wge: Calculate pi weights for an ARMA model

Description

Given the coefficients of the AR and MA parts of an ARMA model, this function calculates the pi weights

Usage

pi.weights.wge(phi = 0, theta = 0, lag.max =5)

Value

A vector containing pi(1), ..., pi(lag.max)

Arguments

phi

Vector of AR coefficients (as in "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott (uses Box and Jenkins notation))

theta

Vector of MA coefficients (as in ATSA and Box Jenkins texts)

lag.max

The function will calculates psi weights pi(1), pi(2), ..., pi(lag.max). Note that psi(0)=1.

Author

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

pi.weights.wge(phi=c(1.2,-.6), theta=.5, lag.max=5)