R/checkAdmissibility.R

In pli2016/forecast: Forecasting Functions for Time Series and Linear Models

# Author: srazbash and Rob J Hyndman
###############################################################################

checkAdmissibility<-function(opt.env, box.cox=NULL, small.phi=NULL, ar.coefs=NULL, ma.coefs=NULL, tau=0, bc.lower=0, bc.upper=1) {
	#Check the range of the Box-Cox parameter
	if(!is.null(box.cox))
	{
		if((box.cox <= bc.lower) | (box.cox >= bc.upper))
			return(FALSE)
	}
	#Check the range of small.phi
	if(!is.null(small.phi))
	{
		if(((small.phi < .8) | (small.phi > 1)))
			return(FALSE)
	}
	#Check AR part for stationarity
	if(!is.null(ar.coefs))
	{
		arlags <- which(abs(ar.coefs) > 1e-08)
		if(length(arlags) > 0L)
		{
			p <- max(arlags)
		  if(min(Mod(polyroot(c(1, -ar.coefs[1L:p])))) < 1 + 1e-2)
			  return(FALSE)
		}
	}
	#Check MA part for invertibility
	if(!is.null(ma.coefs))
	{
		malags <- which(abs(ma.coefs) > 1e-08)
		if(length(malags) > 0L)
		{
			q <- max(malags)
			if(min(Mod(polyroot(c(1, ma.coefs[1L:q])))) < 1 + 1e-2)
				return(FALSE)
		}
	}
	#Check the eigen values of the D matrix
	D.eigen.values<-eigen(opt.env$D, symmetric=FALSE, only.values=TRUE)$values

	return(all(abs(D.eigen.values) < 1 + 1e-2))
}