dse: stability – R documentation

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dse

stability

Calculate Stability of a TSmodel

Description

Calculate roots and their modulus and indicate stability.

Usage

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)

Arguments

`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.

Details

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.

Value

TRUE or FALSE if the model is stable or not stable.

Side Effects

The eigenvalues of the state transition matrix or the roots of the determinant of the AR polynomial are printed if verbose is T.

Examples

data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
stability(model)

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release