InvertQ {portes} | R Documentation |
Check Stationary and Invertibility of ARMA or VARMA Models
Description
Utility function checks whether ARMA
or VARMA
model
satisfies the stationary or/and the invertibility conditions.
Usage
InvertQ(coef)
Arguments
coef |
a numeric, matrix, or array. |
Details
It should be noted that, the AR
(p
) or VAR
(p
) model can always be expressed as a kp
-dimensional
AR
(1
) or VAR
(1
), and the MA
(q
) or VMA
(q
) model can
always be expressed as a kq
-dimensional MA
(1
) or VMA
(1
).
For this reason, we can use this fact when we need to find the explicit solutions of AR
(p
) or
VAR
(p
) models or MA
(q
) or VMA
(q
) models as the AR
(1
) or
VAR
(1
) or the MA
(1
) or VMA
(1
) models can be characterized with simple intuitive formulas.
Value
A warning message only if the model is not stationary or/and not invertible.
Author(s)
Esam Mahdi and A.I. McLeod.
References
Lutkepohl, H. (2005). "New introduction to multiple time series analysis". Springer-Verlag, New York.
Reinsel, G. C. (1997). "Elements of Multivariate Time Series Analysis". Springer-Verlag, 2nd edition.
See Also
varima.sim
, vma.sim
, ImpulseVMA
Examples
##############################################################
### Check Stationary
phi <- array(c(0.5,0.4,0.1,0.5,0,0.3,0,0),dim=c(2,2,2))
InvertQ(phi)
### Check Invertibility
theta <- array(c(0.5,0.4,0.1,0.5,0,0.3,0,0),dim=c(2,2,2))
InvertQ(theta)