MTS: PSIwgt – R documentation

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PSIwgt

Psi Wights Matrices

Computes the psi-weight matrices of a VARMA model

PSIwgt(Phi = NULL, Theta = NULL, lag = 12, plot = TRUE, output = FALSE)

`Phi`	A k-by-kp matrix of VAR coefficient matrix. Phi=[Phi1, Phi1, ..., Phip]
`Theta`	A k-by-kq matrix of VMA coefficient matrix. Theta=[Theta1, Theta2, ..., Thetaq]
`lag`	The number of psi-weight matrices to be computed. Deafult is 12.
`plot`	A logical switch to control plotting of the psi-weights.
`output`	A logical switch to control the output.

`psi.weight`	Psi-weight matrices
`irf`	Impulse response cofficient matrices

Ruey S. Tsay

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

phi=matrix(c(0.2,-0.6,0.3,1.1),2,2)
theta=matrix(c(-0.5,0.2,0.0,-0.6),2,2)
m1=PSIwgt(Phi=phi,Theta=theta)

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