stableroot: Roots of characteristic polynomial

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Roots of characteristic polynomial

Description

Compute the character polynomial of coefficient matrix.

Usage

stableroot(x, ...)

## S3 method for class 'varlse'
stableroot(x, ...)

## S3 method for class 'vharlse'
stableroot(x, ...)

## S3 method for class 'bvarmn'
stableroot(x, ...)

## S3 method for class 'bvarflat'
stableroot(x, ...)

## S3 method for class 'bvharmn'
stableroot(x, ...)

Arguments

x	Model fit
...	not used

Details

To know whether the process is stable or not, make characteristic polynomial.

\det(I_m - A z) = 0

where A is VAR(1) coefficient matrix representation.

Value

Numeric vector.

References

Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.

bvhar documentation built on April 4, 2025, 5:22 a.m.