ARToMA(FitAR) | R Documentation |
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 Coefficients |
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
Box and Jenkins (1970), Time Series Analysis, Foreasting & Control
ARToMA(0.5,20)