ARMAtoMA_cpp

Takes an ARMA function and converts it to an infinite MA process.

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

ARMAtoMA_cpp function

<dl><dt>ar</dt>
<dd>A <code>column vector</code> of length p</dd>
<dt>ma</dt>
<dd>A <code>column vector</code> of length q</dd>
<dt>lag_max</dt>
<dd>A <code>int</code> of the largest MA(Inf) coefficient required.</dd></dl>

Arguments

Author

Converting an ARMA Process to an Infinite MA Process — ARMAtoMA_cpp

<dl>

<dt>ar</dt>
<dd>A <code>column vector</code> of length p</dd>


<dt>ma</dt>
<dd>A <code>column vector</code> of length q</dd>


<dt>lag_max</dt>
<dd>A <code>int</code> of the largest MA(Inf) coefficient required.</dd>

</dl>

Converting an ARMA Process to an Infinite MA Process

ARMAtoMA_cpp: Converting an ARMA Process to an Infinite MA Process

Description

Usage

Value

Arguments

Author

Details