marima (version 2.2)

rand.shock: rand.shock

Description

Calculation of random shock form for arma model

Usage

rand.shock(ar.poly, ma.poly, L)

Arguments

ar.poly

autoregressive matrix part of model

ma.poly

moving average matrix part of model

L

order of return polynomial (length=L+1 including leading unity matrix)

Value

random shock form of arma model up to order L (array(k,k,L+1))

Examples

set.seed(4711)
p1 <- check.one(matrix(rnorm(16),nrow=4))
p2 <- check.one(array(rnorm(32),dim=c(4, 4, 2)))
randshock <- rand.shock(ar.poly=p1, ma.poly=p2, L=6)
short.form(randshock)