companionMat: Construct Companion Matrix for AR(p) Process
In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models
companionMat R Documentation
Construct Companion Matrix for AR(p) Process
Description
Builds the companion matrix representation for an AR(p) process, which is
used in the state-space formulation of SV(p) models.
Usage
companionMat(phi, p, q)
Arguments
phi
Numeric vector of AR coefficients (length p).
p
Integer. Order of the AR process.
q
Integer. Dimension of each block (typically 1 for univariate).
Value
A (q*p) x (q*p) companion matrix.
wARMASVp documentation built on May 15, 2026, 5:07 p.m.
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| companionMat | R Documentation |
Construct Companion Matrix for AR(p) Process
Description
Builds the companion matrix representation for an AR(p) process, which is used in the state-space formulation of SV(p) models.
Usage
companionMat(phi, p, q)
Arguments
phi |
Numeric vector of AR coefficients (length p). |
p |
Integer. Order of the AR process. |
q |
Integer. Dimension of each block (typically 1 for univariate). |
Value
A (q*p) x (q*p) companion matrix.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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