find arma approximation to ar process
This finds the ARMA(p,q) coefficients that minimize the integrated squared difference between the impulse_response functions (MA representation) of the AR and the ARMA process. This does currently not check whether the MA lagpolynomial of the ARMA process is invertible, neither does it check the roots of the AR lagpolynomial.
Parameters: | ar_des : array_like
p, q : int
n : int
mse : string, ‘ar’
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Returns: | ar_app, ma_app : arrays
res : tuple
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Notes
Extension is possible if we want to match autocovariance instead of impulse response function.
TODO: convert MA lag polynomial, ma_app, to be invertible, by mirroring roots outside the unit intervall to ones that are inside. How do we do this?