<< theta2arma ARMA and VARMA tools varma >>

Grocer >> ARMA and VARMA tools > transf_roots

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

AUTHOR

Eric Dubois 2006

Report an issue
<< theta2arma ARMA and VARMA tools varma >>