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ARMAtoMA_cpp

Converting an ARMA Process to an Infinite MA Process

Description

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

Usage

ARMAtoMA_cpp(ar, ma, lag_max)

Arguments

ar

A column vector of length p
ma

A column vector of length q
lag_max

A int of the largest MA(Inf) coefficient required.

Details

This function is a port of the base stats package's ARMAtoMA. There is no significant speed difference between the two.

Value

A column vector containing coefficients

Author(s)

R Core Team and JJB

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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