CoeffARMA: Transform arbitrary matrices into ARMA coefficient matrices

In statespacer: State Space Modelling in 'R'

Transform arbitrary matrices into ARMA coefficient matrices

Description

Creates coefficient matrices for which the characteristic polynomial corresponds to a stationary process. See \insertCiteansley1986note;textualstatespacer for details about the transformation used.

Usage

CoeffARMA(A, variance = NULL, ar = 1, ma = 0)

Arguments

A	An array of arbitrary square matrices in the multivariate case, or a vector of arbitrary numbers in the univariate case.
variance	A variance - covariance matrix. Note: variance not needed for the univariate case!
ar	The order of the AR part.
ma	The order of the MA part.

Value

If multivariate, a list containing:

• An array of coefficient matrices for the AR part.

• An array of coefficient matrices for the MA part.

If univariate, a list containing:

• A vector of coefficients for the AR part.

• A vector of coefficients for the MA part.

Author(s)

Dylan Beijers, [e-mail]

References

\insertRef

ansley1986notestatespacer

Examples

CoeffARMA(A = stats::rnorm(2), ar = 1, ma = 1)

statespacer documentation built on Feb. 16, 2023, 9:48 p.m.