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
() or
VAR
() model can always be expressed as a
-dimensional
AR
() or
VAR
(), and the
MA
() or
VMA
() model can
always be expressed as a
-dimensional
MA
() or
VMA
().
For this reason, we can use this fact when we need to find the explicit solutions of
AR
() or
VAR
() models or
MA
() or
VMA
() models as the
AR
() or
VAR
() or the
MA
() or
VMA
() 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)