Name
transf_roots — reverses roots lower than 1 in a L polynom
CALLING SEQUENCE
[AR,corrv_ar]=transf_roots(AR)
PARAMETERS
- Input
AR = a (k x 1) vector of coefficients of a polynom 1+AR(L)
- Output
AR = the (k x 1) vector of transforms coefficients such as all roots of (1+AR(L)) are greater than 1
corrv_ar = the coefficient that lust be used to correct the variance of residuals
DESCRIPTION
Reverses roots lower than 1 in a L polynom and calculates the correction to apply to the variance of residuals.
EXAMPLE
[AR,corrv_ar]=transf_roots([-2.4 0.8])
// Reverses the roots of 1-2.4*L+0.8*L^2 that are lower than 1 (here it is 0.5). Provides:
//corrv_ar =
// 0.25
// AR =
// - 0.9 0.2