ARMAtoMA {stats}R Documentation

Convert ARMA Process to Infinite MA Process

Description

Convert ARMA process to infinite MA process.

Usage

ARMAtoMA(ar = numeric(), ma = numeric(), lag.max)

Arguments

ar

numeric vector of AR coefficients

ma

numeric vector of MA coefficients

lag.max

Largest MA(Inf) coefficient required.

Value

A vector of coefficients.

References

Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods, Second Edition. Springer.

See Also

arima, ARMAacf.

Examples

ARMAtoMA(c(1.0, -0.25), 1.0, 10)
## Example from Brockwell & Davis (1991, p.92)
## answer (1 + 3*n)*2^(-n)
n <- 1:10; (1 + 3*n)*2^(-n)

[Package stats version 3.3.2 Index]