(To be removed) Convert VARMA model to VMA model
vgxma has been removed. Use
SpecMA = vgxma(Spec) SpecMA = vgxma(Spec,nMA,MAlag,Cutoff)
vgxma converts a VARMA model into a pure
vector moving average (VMA) model. This function
works only for VARMA models and does not handle
exogenous variables (VARMAX models).
A multivariate time series
specification structure for an
n-dimensional VARMA time series
process, as created by
Number of MA lags for the output
A positive integer vector of specific
MA lags for the output specification structure.
The cutoff for the infinity norm
below which trailing lags are removed. The default
vgxma uses the
maximum lags of the
MA lags of the input
If a large number of lags is needed to form a pure VMA representation (with unit roots close to 1), a large number of initial values is also needed for propagation.
A transformed multivariate time
series specification structure that consists of a
pure vector moving average (VMA) model with