PIwgt {MTS} | R Documentation |
Pi Weight Matrices
Description
Compute the Pi-weight matrices of a VARMA model
Usage
PIwgt(Phi = NULL, Theta = NULL, lag = 12, plot = TRUE)
Arguments
Phi |
A k-by-kp matrix of VAR coefficients in the form [Phi1, Phi2, Phi3, ..., Phip] |
Theta |
A k-by-kq matrix of VMA coefficients in the form [Theta1, Theta2, ..., Thetaq] |
lag |
The number of Pi-weight matrices to be computed. |
plot |
A logical switch to plot the Pi-weight matrices |
Details
The Pi-weight matrices for a VARMA model is Pi(B) = inverse(Theta(B)) times Phi(B).
Value
pi.weight |
The matrix of Pi-weight coefficient |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapters 2 and 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
PSIwgt
Examples
Phi1=matrix(0,2,2); Phi2=matrix(c(0.2,-0.6,0.3,1.1),2,2)
Theta1=diag(c(-0.5,-0.4))
Phi=cbind(Phi1,Phi2)
m1=PIwgt(Phi=Phi,Theta=Theta1)
names(m1)
[Package MTS version 1.2.1 Index]