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Identification of MA part of a vector ARMA process
maximum order of the filter
fixed dimension of the MA part. If
p= -1, the algorithm reduces to the classical Levinson recursions.
matrix containing the
d*dmatrices for a d-dimensional process).It must be given the following way
list-type variable, giving the successively calculated polynomials (degree 1 to degree p),with coefficients Ak
This function identifies the MA part of a vector ARMA(n,p) process.