Converts MTS representation of a VARMA process to a polyMatrix representation
The MTS representation of VARMA process is a list of 13 elements. The necessary elements to represent a VARMA model are the c(2, 3, 4, 5, 8, 11, 12, 13) elements: ARorder, MAorder, cnst, coef, Sigma, Phi, Theta, Ph0. The other five are redundant parameters.
MTS2pM(M)
M |
an arbitrary VARMA model list-object of the |
MTS (Multivariate Time Series) is a general package for analyzing multivariate linear time series, written by Ruey S. Tsay.
An pMvarma class object, equivalent with the M input object,
created by the package MTS.
# runs longly
library(MTS)
set.seed(1)
yt <- VARMAsim(300,arlags=1,malags=1,
phi=matrix(c(0.2,-0.6,0.3,1.1),2,2),
theta=matrix(c(-0.5,0,0,-0.5),2,2),
sigma=diag(2))$series
M <- VARMA(yt,p=2,q=2,include.mean=TRUE)
M[-c(1,6,7,9,10)]
pMvarma<-MTS2pM(M)
print(pMvarma,style="broad",digits=3)
pMvarma
print(pMvarma,"matrix",digits=3)
# clean up
# rm(yt, M, pMvarma)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.