https://github.com/cran/dse
Tip revision: ab08892d097753cdf4449136af92b9e9fb89871c authored by Paul Gilbert on 01 December 2009, 00:00:00 UTC
version 2009.12-1
version 2009.12-1
Tip revision: ab08892
markovParms.Rd
\name{markovParms}
\alias{markovParms}
\title{Markov Parameters}
\description{Construct a Matrix of the Markov Parameters}
\usage{
markovParms(model, blocks=NULL)
}
\arguments{
\item{model}{An ARMA or SS TSmodel.}
\item{blocks}{Number of blocks to calculate.}
}
\value{A matrix}
\details{
Construct a matrix with partitions [M0|...|Mi] giving the Markov
parameters Mi, i+1 = blocks
where each Mi is a p by (m+p) matrix, (m is the dimension of the exogeneous
series and p is the dimension of endogeneous series)
ie. y(t) = e(t) + M [u'(t)|y'(t-1) | u'(t-1)|y'(t-2)]'
This requires that models be transformed so that lagged endogeneous variables
are inputs. See Mittnik p1190.
If blocks=NULL (the default) then at least 3 blocks are generated, and
up to n+1, but the series is truncated if the blocks are effectively zero.
This will affect the size of the Hankel matrix.
}
\seealso{
\code{\link{SVDbalanceMittnik}}
}
\references{
See references for \code{\link{MittnikReduction}}.
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
markovParms(model)
}
\concept{DSE}
\keyword{ts}
\keyword{algebra}