Check Stationary and Invertibility of ARMA or VARMA Models
Utility function checks whether ARMA or VARMA model
satisfies the stationary or/and the invertibility conditions.
InvertQ(coef)
coef |
a numeric, matrix, or array. |
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.
A warning message only if the model is not stationary or/and not invertible.
Esam Mahdi and A.I. McLeod.
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.
############################################################## ### 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)
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