Converting an ARMA Process to an Infinite MA Process

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.

Value

A column vector containing coefficients

Details

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

Author

R Core Team and JJB

Examples

# ARMA(2,1)
ARMAtoMA_cpp(c(1.0, -0.25), 1.0, 10)
#>             [,1]
#>  [1,] 2.00000000
#>  [2,] 1.75000000
#>  [3,] 1.25000000
#>  [4,] 0.81250000
#>  [5,] 0.50000000
#>  [6,] 0.29687500
#>  [7,] 0.17187500
#>  [8,] 0.09765625
#>  [9,] 0.05468750
#> [10,] 0.03027344
# ARMA(0,1)
ARMAtoMA_cpp(numeric(0), 1.0, 10)
#>       [,1]
#>  [1,]    1
#>  [2,]    0
#>  [3,]    0
#>  [4,]    0
#>  [5,]    0
#>  [6,]    0
#>  [7,]    0
#>  [8,]    0
#>  [9,]    0
#> [10,]    0