piar1unit: Function to compute the coefficients of periodic integrated...

In YueyunZhu/UnitRootsofPIAR: Eliminate unit roots for periodically integrated autoregressive models

Description

Function to compute the coefficients of periodic integrated filter. Assume there is a single unit root in the process.

Usage

piar1unit(Xsim, d, eigval = c(1, -1))

Arguments

Xsim	similarity matrix for Jordan decomposition of the multi-companion matrix F
d	period
eigval	eigen value of F

Value

coefficients of $(1-\alpha_sL)$

Examples

library(mcompanion)
Fd <- sim_mc(dim = 4, mo = 4, mo.col = 1, eigval = c(1), len.block = c(1))
icoef <- piar1unit(Xsim = Fd$eigvec, d = 4, eigval = 1)

YueyunZhu/UnitRootsofPIAR documentation built on Feb. 13, 2020, 12:32 a.m.