www.gusucode.com > econ 案例源码程序 matlab代码 > econ/ConvertAnARMAModelToAnMAModel1Example.m
%% Convert an ARMA model to an MA Model % Find the lag coefficients of the truncated, MA approximation of this % univariate, stationary, and invertible ARMA model % % $$y_t = 0.2y_{t-1} - 0.1 y_{t-2} + \varepsilon_t + 0.5 \varepsilon_{t-1}.$$ % %% % The ARMA model is in difference-equation notation because the left % side contains only $y_t$ and its coefficient 1. Create a vector % containing the AR lag term coefficients in order starting from _t_ - 1. % Copyright 2015 The MathWorks, Inc. ar0 = [0.2 -0.1]; %% % Alternatively, you can create a cell vector of the scalar coefficients. %% % Create a vector containing the MA lag term coefficient. ma0 = 0.5; %% % Convert the ARMA model to an MA model by obtaining the coefficients of % the truncated approximation of the infinite-lag polynomial. ma = arma2ma(ar0,ma0) %% % |ma| is a numeric vector because |ar0| and |ma0| are numeric vectors. %% % The approximate MA model truncated at 4 lags is % % $$\begin{array}{*{20}{l}} {{y_t}} = \varepsilon _t + 0.7{\varepsilon_{t - % 1}} + 0.04{\varepsilon_{t - 2}} - 0.062{\varepsilon_{t - 3}} - % 0.0164{\varepsilon_{t - 4}}. \end{array}$$ %