Sum ARIMA Models
Arguments
- ...
list of ARIMA models (created with
arima_model()).
Details
Adds several Arima models, considering that their innovations are independent. The sum of two Arima models is computed as follows: the auto-regressive parts (stationary and non stationary of the aggregated model are the smaller common multiple of the corresponding polynomials of the components. The sum of the acf of the modified moving average polynomials is then computed and factorized, to get the moving average polynomial and innovation variance of the sum.
Examples
mod1 <- arima_model(ar = c(0.1, 0.2), delta = 0, ma = 0)
mod2 <- arima_model(ar = 0, delta = 0, ma = c(0.4))
arima_sum(mod1, mod2)