Coefficients In Infinite Moving Average Expansion
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].
ARToMA(phi, lag.max)
phi |
AR Coefficient vector |
lag.max |
maximum lag |
The coefficients are computed recursively as indicated in Box and Jenkins (1970).
Vector of length L+1 containing, (1,psi[1],...,psi[L])
A.I. McLeod and Y. Zhang
Box and Jenkins (1970), Time Series Analysis, Forecasting & Control
ARToMA(0.5,20) ARToMA(c(0.2,0.5), 15)
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