Matrix form of an ARMA model — ARMA_filter • solarr

Filter the time-series and compute fitted values and residuals.

ARMA_filter(x, A, b, intercept = 0)

Arguments

x: numeric vector, time series to filter.
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.
intercept: Numeric scalar, intercept parameter.

Note

Version 1.0.2

See also

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