dse (version 2020.2-1)

markovParms: Markov Parameters

Description

Construct a Matrix of the Markov Parameters

Usage

markovParms(model, blocks=NULL)

Arguments

model

An ARMA or SS TSmodel.

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.

References

See references for MittnikReduction.

See Also

SVDbalanceMittnik

Examples

# NOT RUN {
    data("eg1.DSE.data.diff", package="dse")
    model <- estVARXls(eg1.DSE.data.diff)
    markovParms(model)
# }