MVPIAR-class: MVPIAR Class

In partsm: Periodic Autoregressive Time Series Models

Description

This class contains the matrices for the multivariate representation of an object of class fit.piartsm-class.

Slots

Phi0:

Object of class "matrix": Matrix for the multivariate representation. See details in PAR.MVrepr-methods.

Phi1:

Object of class "matrix": Matrix for the multivariate representation. See details in PAR.MVrepr-methods.

Gamma.eigenvalues:

Object of class "numeric": Eigenvalues of the matrix Phi0^{-1} \%*\% Phi1.

tvias:

Object of class "matrix": Time-varying impact of accumulation of shocks calculated as Phi0^{-1} \%*\% Phi1 \%*\% Phi0^{-1}.

Omega0:

Object of class "ANY": Matrix for internal use.

Omega1:

Object of class "ANY": Matrix for internal use.

Pi0:

Object of class "ANY": Matrix for internal use.

Pi1:

Object of class "ANY": Matrix for internal use.

Methods

show

signature(object = "MVPIAR"): Shows the information contained in the slots.

Author(s)

Javier Lopez-de-Lacalle [e-mail].

References

P.H. Franses: Periodicity and Stochastic Trends in Economic Time Series (Oxford University Press, 1996).

See Also

PAR.MVrepr-methods, and fit.piartsm-class.

partsm documentation built on Nov. 25, 2020, 5:07 p.m.