garma (version 0.9.6)

extract_arma: Extract underlying ARMA process.

Description

For a Gegenbauer process, transform to remove Gegenbauer long memory component to get a short memory (ARMA) process.

Usage

extract_arma(x, ggbr_factors)

Arguments

x

(num) This should be a numeric vector representing the Gegenbauer process.

ggbr_factors

(class) Each element of the list represents a Gegenbauer factor and includes f, u and fd elements.

Value

An object of same class as x.

Examples

# NOT RUN {
data(AirPassengers)
ap <- as.numeric(diff(AirPassengers,12))
# find semiparametric estimates of the Gegenbauer parameters.
sp <- ggbr_semipara(ap)
# extract the underlying short-memory ARMA process
ap_arma <- extract_arma(ap,sp$ggbr_factors)
summary(arima(ap_arma,order=c(1,0,0)))
# }