Kronspec: Kronecler Index Specification

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Kronecler Index Specification

Description

For a given set of Kronecker indices, the program specifies a VARMA model. It gives details of parameter specification.

Usage

Kronspec(kdx, output = TRUE)

Arguments

kdx	A vector of Kronecker indices
output	A logical switch to control output. Default is with output.

Value

PhiID	Specification of the AR matrix polynomial. 0 denotes zero parameter, 1 denotes fixing parameter to 1, and 2 denotes the parameter requires estimation
ThetaID	Specification of the MA matrix polynomial

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4)

Examples

kdx=c(2,1,1)
m1=Kronspec(kdx)
names(m1)

MTS documentation built on April 11, 2022, 5:07 p.m.