MTS: Mtxprod1 – R documentation

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Mtxprod1

Alternative Polynomial Matrix Product

Compute the product of two polynomial matrices

Mtxprod1(Mtx, sMtx, p, P)

`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 is less than P.
`P`	Degree of the seasonal polynomial matrix

This polynomial product is used in seasonal VARMA modeling to check the multiplicative nature between the regular and seasonal polynomial matrices

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

Ruey S. Tsay

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