markovParms {dse} | R Documentation |
Construct a Matrix of the Markov Parameters
markovParms(model, blocks=NULL)
model |
An ARMA or SS TSmodel. |
blocks |
Number of blocks to calculate. |
Construct a matrix with partitions [M0|...|Mi] giving the Markov parameters Mi, i+1 = blocks where each Mi is a p by (m+p) matrix, (m is the dimension of the exogeneous series and p is the dimension of endogeneous series) ie. y(t) = e(t) + M [u'(t)|y'(t-1) | u'(t-1)|y'(t-2)]' This requires that models be transformed so that lagged endogeneous variables are inputs. See Mittnik p1190. If blocks=NULL (the default) then at least 3 blocks are generated, and up to n+1, but the series is truncated if the blocks are effectively zero. This will affect the size of the Hankel matrix.
A matrix
See references for MittnikReduction
.
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
markovParms(model)