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Mtxprod

Polynomial Matrix Product

Description

Compute the product of two polynomial matrices

Usage

Mtxprod(Mtx, sMtx, p, P)

Arguments

Mtx

The coefficient matrix of a regular polynomial matrix

sMtx

The coefficient matrix of a seasonal polynomial matrix

p

Degree of the regular polynomial matrix

P

Degree of the seasonal polynomial matrix

Value

Coefficient matrix of the product. The product is in the form reg-AR * sAR, etc.

Author(s)

Ruey S. Tsay

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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