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Kronspec

Kronecler Index Specification

Description

For a given set of Kronecker indices, the program specifies a VARMA model. It gives details of parameter specification.

Usage

Kronspec(kdx, output = TRUE)

Arguments

kdx

A vector of Kronecker indices

output

A logical switch to control output. Default is with output.

Value

PhiID

Specification of the AR matrix polynomial. 0 denotes zero parameter, 1 denotes fixing parameter to 1, and 2 denotes the parameter requires estimation
ThetaID

Specification of the MA matrix polynomial

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4)

Examples

kdx=c(2,1,1)
m1=Kronspec(kdx)
names(m1)
MTS

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0
Artistic License 2.0
Authors
Ruey S. Tsay and David Wood
Initial release
2018-10-8

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