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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...

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...

...500000 -0.1304348 0.1153846 -0.1034483 > ARMAacf(c(1.0, -0.25), lag.max = 10, pacf = TRUE) [1] 8.000000e-01 -2.500000e-01 -6.579099e-17 -3.045879e-19 5.302086e-19 [6] 2.059071e-17 -6.361500e-33 -1.027984e-17 5.139921e-18 1.606263e-33 > > > > cleanEx(); ..nameEx <- "ARMAtoMA" > > ### * ARMAtoMA > > flush(stderr()); flush(stdout()) > > ### Name: ARMAtoMA > ### Title: Convert ARMA Process to Infinite MA Process > ### Aliases: ARMAtoMA > ### Keywords: ts > > ### ** Examples > > ARMAtoMA(c(1.0, -0.25), 1.0, 10) [1] 2.000000...

Hi, I am new to using R for Time series analysis. I was wondering if there are any functions that can convert ARMA or ARIMA time series into their corresponding AR or MA time series representations (by calculating the corresponding AR or MA coefficients). Thanks a lot Kris.

I would like to figure out the equations for calculating "AIC" in both "step() function" and "AIC () function". They are different. Then I just type "step" in the R console, and found the "AIC" used in "step() function" is "extractAIC". I went to the R help, and found: "The criterion used is AIC = - 2*log L + k *

...tools-internal text html latex undoc text html latex example >>> Building/Updating help pages for package `ts' Formats: text html latex example ARMAacf text html latex example ARMAtoMA text html latex example AirPassengers text html latex example BJsales text html latex EuStockMarkets text html latex HoltWinters text html latex...