dse (version 2014.11-1)

stability: Calculate Stability of a TSmodel

Description

Calculate roots and their modulus and indicate stability.

Usage

stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'ARMA':
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'roots':
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'TSmodel':
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'TSestModel':
stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)

Arguments

obj

An object of class TSmodel.

fuzz

Roots within fuzz are considered equal.

eps

Roots with modulus less than (1-eps) are considered stable.

digits

Printing precision.

verbose

Print roots and there moduli.

Value

• TRUE or FALSE if the model is stable or not stable.

Side Effects

The eigenvalues of the state transition matrix or the roots of the determinant of the AR polynomial are printed if verbose is T.

concept

DSE

Details

The returned value is TRUE or FALSE, indicating if the model is stable or not. The result also has an attribute roots which is a matrix with the first (complex) column indicating the eigenvalues of the state transition matrix F for state space models, or the inverse of distinct roots of det(A(L)) for ARMA models, and the second column indicating the moduli of the roots.

The argument eps is used to prevents the indication of a stable model when the largest root is within rounding error of 1.0.

See Also

McMillanDegree

Examples

data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
stability(model)