ldt (version 0.5.3)

get.varma.params: Split VARMA parameter into its Components

Description

Use this function to extract AR, MA, intercept, and exogenous coefficients from the VARMA estimation.

Usage

get.varma.params(
  coef,
  numAR = 1,
  numMA = 0,
  numExo = 0,
  intercept = TRUE,
  numAR_s = 0,
  numMA_s = 0,
  numSeasons = 1
)

Value

A list with the following items:

• arList: A list containing the AR coefficients for each lag.

• intercept: A numeric vector of length numEq containing the intercept, or NULL if intercept = FALSE.

• exoCoef: A matrix of dimensions numEq x numExo containing the exogenous coefficients, or NULL if numExo = 0.

• maList: A list containing the MA coefficients for each lag.

Arguments

coef

A matrix of coefficients with dimensions numEq x numAR * numEq + numMA * numEq + numExo + ifelse(intercept, 1, 0).

numAR

A non-negative integer scalar specifying the number of AR lags.

numMA

A non-negative integer scalar specifying the number of MA lags.

numExo

A non-negative integer scalar specifying the number of exogenous variables.

intercept

A logical scalar indicating whether an intercept is included in the model.

numAR_s

A non-negative integer scalar specifying the number of seasonal AR lags.

numMA_s

A non-negative integer scalar specifying the number of seasonal MA lags.

numSeasons

A non-negative integer scalar specifying the number of seasons.

See Also

estim.varma

Examples

# see 'search.varma' or 'estim.varma' functions.