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