Grocer Function
NAME
mainf - Infinite Moving average representation
CALLING SEQUENCE
[mainf_proxy]=mainf(ar,ma,nbterms)
PARAMETERS
Input
-
ar= the ar part = a (px1) or (1xp) vector
-
ma = the ma part = a (qx1) or (1xq) vector
-
nbterms = # of terms developped (optional, default = 100)
Output
-
mainf_proxy = the nbterms first terms of the Infinite Moving average representation
DESCRIPTION
Infinite Moving average representation of an ARMA process, supposed to be written:
(1-ar(L))xt = ma(L) ut
EXAMPLE
1) m=mainf([0.5 .2],[1 -0.3 -0.4],200)
2) m=mainf([0.5 .2],[1 -0.3 -0.4])
Example 1 calculates the 200 first terms of the Infinite Moving Average
Representation of the ARMA process :
(1-0.5*L-0.2*L^2) xt= (1-0.3*L-0.4*L^2) et
Example 2 calculates the 200 first terms of the Infinite Moving Average
Representation of the same ARMA process.
AUTHOR
Eric Dubois 2004