TestPhi: Test the Drift Matrix

In simStateSpace: Simulate Data from State Space Models

Test the Drift Matrix

Description

Both have to be true for the function to return TRUE.

• Test that the real part of all eigenvalues of \boldsymbol{\Phi} are less than zero.

• Test that the diagonal values of \boldsymbol{\Phi} are between 0 to negative inifinity.

Usage

TestPhi(phi)

Arguments

phi	Numeric matrix. The drift matrix (\boldsymbol{\Phi}).

Author(s)

Ivan Jacob Agaloos Pesigan

See Also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), SimBetaN(), SimPhiN(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), TestStability(), TestStationarity()

Examples

phi <- matrix(
  data = c(
    -0.357, 0.771, -0.450,
    0.0, -0.511, 0.729,
    0, 0, -0.693
  ),
  nrow = 3
)
TestPhi(phi = phi)

simStateSpace documentation built on June 22, 2024, 9:15 a.m.