sigex.canonize: Compute canonization of a given ARMA process

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Compute canonization of a given ARMA process

Description

Background: An ARMA or ARIMA process X_t has form X_t = theta(B)/phi(B) eps_t where eps_t is white noise, and we allow phi(B) to have unit roots. Canonization seeks a new theta*(B) such that the spectral density corresponding to theta*(B)/phi(B) is non-invertible (i.e. has a zero). The minimum value of the original spectrum is subtracted off to get the canonized spectrum.

Usage

sigex.canonize(ma.coef, ar.coef)

Arguments

ma.coef	q coefficients of MA polynomial with unit constant coefficient
ar.coef	p coefficients (minus convention) of AR polynomial with unit constant coefficient

Value

ma.stab: coefficients of MA polynomial (without a unit constant coefficient), the degree is max(p,q)

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.