Hi everybody, I am trying to create a code for the formula in the attachment. I first tried following code:
ltau <- m + theta*sum(psi*X[t-k]) but it does not work and I get for X[t-k] every third element in my vector three times which looks as follows: X[t-k] [1] -0.25 -0.25 -0.25 0.50 0.50 0.50 -0.44 -0.44 -0.44 0.15 0.15 0.15 Thus, I tried the filter() function in R which looks as follows: ltau <- m + theta* filter(f.USA$UTS, phi(K, omega1, omega2), sides=1, method="conv") Reading the description of this function I am unsure whether this provides the sum of the k lags. The appreviation "conv" provides, as far as I understand, the moving average instead of the sum. Does anybody have an idea how the R code for the formula attached must look like? Is the filter() function appropriate? Thanks in advance.
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