model_is_stable: Eigenvalue stability condition checking

In autovarCore: Automated Vector Autoregression Models and Networks

Description

This function returns whether the given model satisfies the Eigenvalue stability condition. The Eigenvalue stability condition is satisfied when all eigen values lie in the unit circle.

Usage

model_is_stable(varest)

Arguments

varest

A varest model.

Value

This function returns TRUE if the model satisfies the Eigenvalue stability condition and FALSE otherwise.

Examples

data_matrix <- matrix(nrow = 40, ncol = 3)
data_matrix[, ] <- runif(ncol(data_matrix) * nrow(data_matrix), 1, nrow(data_matrix))
colnames(data_matrix) <- c('rumination', 'happiness', 'activity')
varest <- autovarCore:::run_var(data_matrix, NULL, 1)
autovarCore:::model_is_stable(varest)

Example output

[1] TRUE

autovarCore documentation built on May 2, 2019, 4:01 a.m.