piar2unit.simple: 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 are two simple unit roots in the process.

Usage

piar2unit.simple(Xsim, d, eigval)

Arguments

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

Value

coefficients of $(1-\alpha_1sL-\alpha_2sL^2)$

Examples

library(mcompanion)
Fd <- sim_mc(dim = 4, mo = 4, mo.col = 2, eigval = c(1, 1), len.block = c(1, 1))
icoef <- piar2unit.simple(Xsim = Fd$eigvec, d = 4, eigval = c(1, 1))

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