Mtxprod1: Alternative Polynomial Matrix Product
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
Mtxprod1 R Documentation
Alternative Polynomial Matrix Product
Description
Compute the product of two polynomial matrices
Usage
Mtxprod1(Mtx, sMtx, p, P)
Arguments
Mtx
The coefficient matrix of a regular polynomial matrix
sMtx
The coefficient matrix of a seasonal polynomial matrix
p
Degree of the regular polynomial matrix. p is less than P.
P
Degree of the seasonal polynomial matrix
Details
This polynomial product is used in seasonal VARMA modeling to check the multiplicative nature between the regular and seasonal polynomial matrices
Value
Coefficient matrix of the product. The product matrix is in the form
sAR * reg-AR, etc.
Author(s)
Ruey S. Tsay
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| Mtxprod1 | R Documentation |
Alternative Polynomial Matrix Product
Description
Compute the product of two polynomial matrices
Usage
Mtxprod1(Mtx, sMtx, p, P)
Arguments
Mtx |
The coefficient matrix of a regular polynomial matrix |
sMtx |
The coefficient matrix of a seasonal polynomial matrix |
p |
Degree of the regular polynomial matrix. p is less than P. |
P |
Degree of the seasonal polynomial matrix |
Details
This polynomial product is used in seasonal VARMA modeling to check the multiplicative nature between the regular and seasonal polynomial matrices
Value
Coefficient matrix of the product. The product matrix is in the form sAR * reg-AR, etc.
Author(s)
Ruey S. Tsay
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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