get.varma.params: Split VARMA parameter into its Components

In ldt: Automated Uncertainty Analysis

Split VARMA parameter into its Components

Description

Use this function to extract AR, MA, intercept, and exogenous coefficients from the VARMA estimation.

Usage

get.varma.params(
  coef,
  numAR = 1,
  numMA = 0,
  numExo = 0,
  intercept = TRUE,
  numAR_s = 0,
  numMA_s = 0,
  numSeasons = 1
)

Arguments

coef	A matrix of coefficients with dimensions numEq x numAR * numEq + numMA * numEq + numExo + ifelse(intercept, 1, 0).
numAR	A non-negative integer scalar specifying the number of AR lags.
numMA	A non-negative integer scalar specifying the number of MA lags.
numExo	A non-negative integer scalar specifying the number of exogenous variables.
intercept	A logical scalar indicating whether an intercept is included in the model.
numAR_s	A non-negative integer scalar specifying the number of seasonal AR lags.
numMA_s	A non-negative integer scalar specifying the number of seasonal MA lags.
numSeasons	A non-negative integer scalar specifying the number of seasons.

Value

A list with the following items:

• arList: A list containing the AR coefficients for each lag.

• intercept: A numeric vector of length numEq containing the intercept, or NULL if intercept = FALSE.

• exoCoef: A matrix of dimensions numEq x numExo containing the exogenous coefficients, or NULL if numExo = 0.

• maList: A list containing the MA coefficients for each lag.

See Also

estim.varma

Examples

# see 'search.varma' or 'estim.varma' functions.

ldt documentation built on Sept. 11, 2024, 5:25 p.m.