Matrix form of an ARMA model — ARMA_variance • solarr

Compute the variance of an ARMA model

ARMA_variance(h = 1, A, b, sigma2 = 1)

Arguments

h: integer(1), number of steps ahead.
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_covariance(), ARMA_expectation(), ARMA_filter(), ARMA_forecast(), ARMA_next_step()

Examples

A <- ARMA_companion_matrix(c(0.4, 0.1), c(0.1, 0.05))
b <- ARMA_vector_b(2,2)
ARMA_variance(h = 3, A, b, sigma2 = 1)
#>    t+1    t+2    t+3 
#> 1.0000 1.2500 1.3725