Creates an ARMA state block (representation I)
Arguments
- period
Period of the seasonality
- phi
Regular stationary auto-regressive polynomial. True signs, without the constant
- theta
Regular moving average polynomial. True signs, without the constant
- bphi
Seasonal stationary auto-regressive polynomial. True signs, without the constant
- btheta
Seasonal moving average polynomial. True signs, without the constant
Examples
sb<-.sarma(12, c(0.5, -.2, .1), -.8, NULL, -.6)
.ssf_P0(sb)
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 6.7826815 -5.85781947 4.58082364 -3.8044803 3.01606019 -2.2780360
#> [2,] -5.8578195 5.78268150 -4.55781947 3.7308236 -3.01948034 2.3235602
#> [3,] 4.5808236 -4.55781947 4.09268150 -3.4528195 2.71032364 -2.1192303
#> [4,] -3.8044803 3.73082364 -3.45281947 3.3701815 -2.78556947 2.1216986
#> [5,] 3.0160602 -3.01948034 2.71032364 -2.7855695 2.75395650 -2.2419570
#> [6,] -2.2780360 2.32356019 -2.11923034 2.1216986 -2.24195697 2.2744003
#> [7,] 1.6036211 -1.68978603 1.55883519 -1.6192178 1.65992239 -1.8345938
#> [8,] -0.9607338 1.09249609 -1.02532353 1.1243789 -1.21798471 1.3059683
#> [9,] 0.3310347 -0.51827127 0.51729484 -0.6492304 0.77704588 -0.9115794
#> [10,] 0.2853738 -0.05124655 -0.02130564 0.1923558 -0.34913962 0.5123161
#> [11,] -0.8672066 0.61611941 -0.48121586 0.2598281 -0.06727954 -0.1200983
#> [12,] 1.6455746 -1.15328189 0.98801732 -0.7243799 0.48439726 -0.2653867
#> [13,] -2.2487660 1.89298948 -1.47492127 1.1983200 -0.91860057 0.6557321
#> [14,] 2.0202186 -1.86276306 1.39118568 -1.1468188 0.89530769 -0.6512936
#> [,7] [,8] [,9] [,10] [,11] [,12]
#> [1,] 1.60362109 -0.9607338 0.331034705 0.28537379 -0.86720657 1.64557457
#> [2,] -1.68978603 1.0924961 -0.518271269 -0.05124655 0.61611941 -1.15328189
#> [3,] 1.55883519 -1.0253235 0.517294837 -0.02130564 -0.48121586 0.98801732
#> [4,] -1.61921784 1.1243789 -0.649230404 0.19235577 0.25982814 -0.72437987
#> [5,] 1.65992239 -1.2179847 0.777045882 -0.34913962 -0.06727954 0.48439726
#> [6,] -1.83459384 1.3059683 -0.911579433 0.51231612 -0.12009828 -0.26538669
#> [7,] 1.92836219 -1.5339246 1.045689762 -0.68670249 0.31775500 0.04818553
#> [8,] -1.53392456 1.6671134 -1.307770917 0.85029626 -0.51765013 0.17153476
#> [9,] 1.04568976 -1.3077709 1.471340363 -1.13862580 0.70395372 -0.39107253
#> [10,] -0.68670249 0.8502963 -1.138625800 1.32520141 -1.01218795 0.59459249
#> [11,] 0.31775500 -0.5176501 0.703953722 -1.01218795 1.21580874 -0.91756979
#> [12,] 0.04818553 0.1715348 -0.391072532 0.59459249 -0.91756979 1.13396966
#> [13,] -0.41092851 0.1746455 0.062062940 -0.29649045 0.51276110 -0.84679049
#> [14,] 0.42866586 -0.2136328 0.003853651 0.20962462 -0.42415923 0.62318700
#> [,13] [,14]
#> [1,] -2.24876598 2.020218562
#> [2,] 1.89298948 -1.862763059
#> [3,] -1.47492127 1.391185682
#> [4,] 1.19831999 -1.146818782
#> [5,] -0.91860057 0.895307693
#> [6,] 0.65573208 -0.651293551
#> [7,] -0.41092851 0.428665861
#> [8,] 0.17464547 -0.213632770
#> [9,] 0.06206294 0.003853651
#> [10,] -0.29649045 0.209624620
#> [11,] 0.51276110 -0.424159230
#> [12,] -0.84679049 0.623187002
#> [13,] 1.07275552 -0.942293371
#> [14,] -0.94229337 0.923757264