Mtxprod1: Alternative Polynomial Matrix Product

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

Alternative Polynomial Matrix Product

Description

Compute the product of two polynomial matrices

Usage

Mtxprod1(Mtx, sMtx, p, P)

Arguments

Mtx	The coefficient matrix of a regular polynomial matrix
sMtx	The coefficient matrix of a seasonal polynomial matrix
p	Degree of the regular polynomial matrix. p is less than P.
P	Degree of the seasonal polynomial matrix

Details

This polynomial product is used in seasonal VARMA modeling to check the multiplicative nature between the regular and seasonal polynomial matrices

Value

Coefficient matrix of the product. The product matrix is in the form sAR * reg-AR, etc.

Author(s)

Ruey S. Tsay

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