CoeffARMA: Transform arbitrary matrices into ARMA coefficient matrices
Description
Creates coefficient matrices for which the characteristic polynomial
corresponds to a stationary process.
See ansley1986note;textualstatespacer for details about
the transformation used.
Usage
CoeffARMA(A, variance = NULL, ar = 1, ma = 0)
Value
If multivariate, a list containing:
An array of coefficient matrices for the AR part.
An array of coefficient matrices for the MA part.
If univariate, a list containing:
A vector of coefficients for the AR part.
A vector of coefficients for the MA part.
Arguments
A
An array of arbitrary square matrices in the multivariate case,
or a vector of arbitrary numbers in the univariate case.
variance
A variance - covariance matrix.
Note: variance not needed for the univariate case!