TestStationarity: Test Stationarity

In simStateSpace: Simulate Data from State Space Models

Test Stationarity

Description

The function computes the eigenvalues of the input matrix x. It checks if all eigenvalues have moduli less than 1. If all eigenvalues have moduli less than 1, the system is considered stationary.

Usage

TestStationarity(x)

Arguments

x	Numeric matrix.

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(), TestPhi(), TestStability()

Examples

x <- matrix(
  data = c(0.5, 0.3, 0.2, 0.4),
  nrow = 2
)
TestStationarity(x)

x <- matrix(
  data = c(0.9, -0.5, 0.8, 0.7),
  nrow = 2
)
TestStationarity(x)

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