markovParms {dse1} | R Documentation

## 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.

### 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.

### Value

A matrix

### References

See references for `MittnikReduction`.

### See Also

`SVDbalanceMittnik`

### Examples

        if(is.R()) data("eg1.DSE.data.diff", package="dse1")
        model <- estVARXls(eg1.DSE.data.diff)
        markovParms(model)

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