ARToMA: Coefficients In Infinite Moving Average Expansion
Description
A stationary-causal AR(p) can be written as a general linear process (GLP).
This function obtains the moving-average expansion out to the L-th lag,
z[t] = a[t]+psi[1]*a[t-1]+...+psi[L]*a[t-L].
Usage
ARToMA(phi, lag.max)
Arguments
phi
AR Coefficient vector
lag.max
maximum lag
Value
Vector of length L+1 containing, (1,psi[1],...,psi[L])
Details
The coefficients are computed recursively as indicated in Box and Jenkins (1970).
References
Box and Jenkins (1970), Time Series Analysis, Forecasting & Control