stability {dse} | R Documentation |
Calculate roots and their modulus and indicate stability.
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
## S3 method for class 'ARMA'
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
## S3 method for class 'roots'
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
## S3 method for class 'TSmodel'
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
## S3 method for class 'TSestModel'
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
obj |
An object of class TSmodel. |
fuzz |
Roots within fuzz are considered equal. |
eps |
Roots with modulus less than (1-eps) are considered stable. |
digits |
Printing precision. |
verbose |
Print roots and there moduli. |
The returned value is TRUE
or FALSE
, indicating if the model is
stable or not. The result also has an attribute roots
which is a matrix
with the first (complex) column indicating the eigenvalues of the state
transition matrix F
for state space models, or the inverse of distinct
roots of det(A(L)) for ARMA models, and the second column indicating the moduli
of the roots.
The argument eps
is used to prevents the indication of a stable model
when the largest root is within rounding error of 1.0.
TRUE
or FALSE
if the model is stable or not stable.
The eigenvalues of the state transition matrix or the roots of the determinant of the AR polynomial are printed if verbose is T.
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
stability(model)