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mainf

Infinite Moving average representation

CALLING SEQUENCE

[mainf_proxy]=mainf(ar,ma,nbterms)

PARAMETERS

Input

* ar = the ar part = a (p x 1) or (1 x p) vector

* ma = the ma part = a (q x 1) or (1 x q) 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

m=mainf([0.5 .2],[1 -0.3 -0.4],200)
// Calculates the 200 first terms of the Infinite Moving AverageRepresentation of the ARMA process :
// (1-0.5*L-0.2*L^2) xt= (1-0.3*L-0.4*L^2) et
 
m=mainf([0.5 .2],[1 -0.3 -0.4])
 
// calculates the 200 first terms of the Infinite Moving Average Representation of the same ARMA process.

AUTHOR

Eric Dubois 2004

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