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I am trying to quantify the effect of a future random shocks on my seasonal ARIMA model. If I have understood the theory correctly, the easiest way is to express my seasonal ARIMA model in its "random shock" form, and calculate the corresponding psi weights.

Is there a way to do this in R? There is ARMAtoMA, but I think this only works for ARMA models, and not seasonal ARIMA models.

Thank you for your help.


UPDATE: Apologies, I'll post the question about R onto stack overflow. It would be good to get confirmation that this is the correct method to quantify the effect of future random shocks to a seasonal ARIMA model.

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  • $\begingroup$ If you are only asking how to do this in R, this question would be off-topic for CV (see our help center). It might do well on the r-help listserv, though. Please clarify your question. $\endgroup$ – gung Jul 29 '14 at 13:16
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    $\begingroup$ This question appears to be off-topic because it is about how to use R. $\endgroup$ – gung Jul 29 '14 at 13:16
  • $\begingroup$ You can define the input to ARMAtoMA by multiplying the non-seasonal and seasonal polynomials. If you post the link to your question at stack overflow I could give you more details. $\endgroup$ – javlacalle Oct 15 '14 at 16:56

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