Matrix form of an ARMA model — ARMA_covariance • solarr

Compute the ARMA conditional variance / covariance

ARMA_covariance(h, k, A, b, sigma2 = 1)

Arguments

h: integer(1), number of steps ahead.
k: integer(1), number of steps ahead for the second lag.
A: numeric matrix of size p+q x p+q. See the function ARMA_companion_matrix for more details.
b: mumeric vector of length p+q. See the function ARMA_vector_b for more details.
sigma2: integer(1), std. deviation of the residuals.

Note

Version 1.0.2

See also

Other ARMA-moments: ARMA_expectation(), ARMA_filter(), ARMA_forecast(), ARMA_next_step(), ARMA_variance()

Examples

A <- ARMA_companion_matrix(c(0.4, 0.1), c(0.1, 0.05))
b <- ARMA_vector_b(2,2)
ARMA_covariance(3, 1, A, b, sigma2 = 1)
#>      [,1] [,2] [,3] [,4]
#> [1,] 0.35    0 0.35    0
#> [2,] 0.50    0 0.50    0
#> [3,] 0.00    0 0.00    0
#> [4,] 0.00    0 0.00    0