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
%
% $$\begin{array}{*{20}{l}} {{y_t}} = \varepsilon _t + 0.7{\varepsilon_{t -
% 1}} + 0.04{\varepsilon_{t - 2}} - 0.062{\varepsilon_{t - 3}} -
% 0.0164{\varepsilon_{t - 4}}.  \end{array}$$
%