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amatoga
2009 Nov 11
1
AMRAtoMA
Hello R Users!
I have a question about the output of ARMAtoMA when used to calculate
the variance of
a model. I have a mixed model of the form ARMA(1,1). The actual
model takes the form:
X(t) = 0.75X(t-12) + a(t) - 0.4a(t-1)
Given that gamma(0) takes the form [(1 + theta^2 -
2*theta*phi)/(1-phi^2)]*sigma(a), I would
expect a process variance of 4.02*sigma(a) when I substitute 0.75 for
phi and