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vgxma

(To be removed) Convert VARMA model to VMA model

vgxma has been removed. Use arma2ma instead.

Syntax

SpecMA = vgxma(Spec)
SpecMA = vgxma(Spec,nMA,MAlag,Cutoff)

Description

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).

Required Input Argument

Spec

A multivariate time series specification structure for an n-dimensional VARMA time series process, as created by vgxset.

Optional Input Arguments

nMA

Number of MA lags for the output specification structure. vgxma truncates an infinite-order VMA model to nMA lags. If specific MA lags are not given by MAlag, the lags are 1:nMA. To use MAlag, set nMA to [] or to the number of specific lags.

MAlag

A positive integer vector of specific MA lags for the output specification structure. MAlag must be of length nMA, unless nMA is [].

Cutoff

The cutoff for the infinity norm below which trailing lags are removed. The default is 0, which does not remove any lags and uses the values for nMA and MAlag.

If neither nMA nor MAlag is specified, vgxma uses the maximum lags of the AR or MA lags of the input Spec.

Note

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.

Output Arguments

SpecMA

A transformed multivariate time series specification structure that consists of a pure vector moving average (VMA) model with nMA lags. Logical indicators for model parameter estimation (“solve” information) in Spec are not passed on to SpecMA.

See Also

Introduced in R2008b