markovParms               package:dse1               R Documentation

_M_a_r_k_o_v _P_a_r_a_m_e_t_e_r_s

_D_e_s_c_r_i_p_t_i_o_n:

     Construct a Matrix of the Markov Parameters

_U_s_a_g_e:

         markovParms(model, blocks=NULL)

_A_r_g_u_m_e_n_t_s:

   model: An ARMA or SS TSmodel.

  blocks: Number of blocks to calculate.

_D_e_t_a_i_l_s:

     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.

_V_a_l_u_e:

     A matrix

_R_e_f_e_r_e_n_c_e_s:

     See references for 'MittnikReduction'.

_S_e_e _A_l_s_o:

     'SVDbalanceMittnik'

_E_x_a_m_p_l_e_s:

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

