MVPAR-class

This class contains the matrices for the multivariate representation of an object of
 class <code>fit.partsm-class</code>.

classes

Basic functions to fit and predict periodic autoregressive time series models. These models are discussed in the book P.H. Franses (1996) "Periodicity and Stochastic Trends in Economic Time Series", Oxford University Press. Data set analyzed in that book is also provided. NOTE: the package was orphaned during several years. It is now only maintained, but no major enhancements are expected, and the maintainer cannot provide any support.

Matthieu Stigler

partsm

Periodic Autoregressive Time Series Models

Javier Lopez-de-Lacalle

MVPAR-class function

<dl>
 <dt><code>Phi0</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Matrix for the multivariate representation. See
 details in <code>PAR.MVrepr-methods</code>.</dd> <dt><code>Phi1</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Matrix for the multivariate representation. See
 details in <code>PAR.MVrepr-methods</code>.</dd> <dt><code>Gamma.eigenvalues</code>:</dt>
<dd>Object of class <code>"numeric"</code>: Eigenvalues of the matrix
 \(Phi0^{-1} \%*\% Phi1\).</dd> <dt><code>tvias</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Time-varying impact of accumulation of shocks
 calculated as \(Phi0^{-1} \%*\% Phi1 \%*\% Phi0^{-1}\).</dd> 
</dl>

Slots

<dl>
 <dt>show</dt>
<dd><code>signature(object = "MVPAR")</code>: Shows the information contained in the slots.</dd> 
</dl>

Methods

Javier Lopez-de-Lacalle <a href="/link/javlacalle%40yahoo.es?package=partsm&version=1.1-4" data-mini-rdoc="partsm::javlacalle@yahoo.es">javlacalle@yahoo.es</a>.

Author

MVPAR Class — MVPAR-class

<dl>
 <dt><code>Phi0</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Matrix for the multivariate representation. See
 details in <code>PAR.MVrepr-methods</code>.</dd>

 <dt><code>Phi1</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Matrix for the multivariate representation. See
 details in <code>PAR.MVrepr-methods</code>.</dd>

 <dt><code>Gamma.eigenvalues</code>:</dt>
<dd>Object of class <code>"numeric"</code>: Eigenvalues of the matrix
 \(Phi0^{-1} \%*\% Phi1\).</dd>

 <dt><code>tvias</code>:</dt>
<dd>Object of class <code>"matrix"</code>: Time-varying impact of accumulation of shocks
 calculated as \(Phi0^{-1} \%*\% Phi1 \%*\% Phi0^{-1}\).</dd>

 
</dl>

<dl>
 <dt>show</dt>
<dd><code>signature(object = "MVPAR")</code>: Shows the information contained in the slots.</dd>

 
</dl>

Javier Lopez-de-Lacalle <a href='mailto:javlacalle@yahoo.es'>javlacalle@yahoo.es</a>.

MVPAR-class: MVPAR Class

Description

Arguments

Slots

Methods

Author

References

See Also