Creates an ARMA state block (representation II)
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<-.sarma2(12, c(0.5, -.2, .1), -.8, NULL, -.6)
.ssf_P0(sb)
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 6.7826815 -2.4664787 2.953776e-01 3.357635e-01 -3.881267e-01
#> [2,] -2.4664787 1.6205324 -3.472260e-01 -1.225226e-01 1.417002e-01
#> [3,] 0.2953776 -0.3472260 5.910741e-01 -2.491873e-01 -4.489725e-02
#> [4,] 0.3357635 -0.1225226 -2.491873e-01 5.904000e-01 -2.880000e-01
#> [5,] -0.3881267 0.1417002 -4.489725e-02 -2.880000e-01 5.904000e-01
#> [6,] 0.4489725 -0.1636404 5.190570e-02 -1.387779e-17 -2.880000e-01
#> [7,] -0.5190570 0.1894440 -5.982900e-02 0.000000e+00 -1.387779e-17
#> [8,] 0.5982900 -0.2199120 6.978600e-02 -2.081668e-17 0.000000e+00
#> [9,] -0.6978600 0.2493600 -8.034000e-02 0.000000e+00 -2.081668e-17
#> [10,] 0.8034000 -0.2961600 8.868000e-02 0.000000e+00 0.000000e+00
#> [11,] -0.8868000 0.3600000 -1.188000e-01 2.775558e-17 0.000000e+00
#> [12,] 1.1880000 -0.2928000 1.224000e-01 5.551115e-17 2.775558e-17
#> [13,] -1.2240000 0.5760000 -4.800000e-02 -1.665335e-16 5.551115e-17
#> [14,] 0.4800000 -0.3840000 2.220446e-16 6.938894e-17 -1.665335e-16
#> [,6] [,7] [,8] [,9] [,10]
#> [1,] 4.489725e-01 -5.190570e-01 5.982900e-01 -6.978600e-01 8.034000e-01
#> [2,] -1.636404e-01 1.894440e-01 -2.199120e-01 2.493600e-01 -2.961600e-01
#> [3,] 5.190570e-02 -5.982900e-02 6.978600e-02 -8.034000e-02 8.868000e-02
#> [4,] -1.387779e-17 0.000000e+00 -2.081668e-17 0.000000e+00 0.000000e+00
#> [5,] -2.880000e-01 -1.387779e-17 0.000000e+00 -2.081668e-17 0.000000e+00
#> [6,] 5.904000e-01 -2.880000e-01 -1.387779e-17 0.000000e+00 -2.081668e-17
#> [7,] -2.880000e-01 5.904000e-01 -2.880000e-01 -1.387779e-17 0.000000e+00
#> [8,] -1.387779e-17 -2.880000e-01 5.904000e-01 -2.880000e-01 -1.387779e-17
#> [9,] 0.000000e+00 -1.387779e-17 -2.880000e-01 5.904000e-01 -2.880000e-01
#> [10,] -2.081668e-17 0.000000e+00 -1.387779e-17 -2.880000e-01 5.904000e-01
#> [11,] 0.000000e+00 -2.081668e-17 0.000000e+00 -1.387779e-17 -2.880000e-01
#> [12,] 0.000000e+00 0.000000e+00 -2.081668e-17 0.000000e+00 -1.387779e-17
#> [13,] 2.775558e-17 0.000000e+00 0.000000e+00 -2.081668e-17 0.000000e+00
#> [14,] 5.551115e-17 2.775558e-17 0.000000e+00 0.000000e+00 -2.081668e-17
#> [,11] [,12] [,13] [,14]
#> [1,] -8.868000e-01 1.188000e+00 -1.224000e+00 4.800000e-01
#> [2,] 3.600000e-01 -2.928000e-01 5.760000e-01 -3.840000e-01
#> [3,] -1.188000e-01 1.224000e-01 -4.800000e-02 2.220446e-16
#> [4,] 2.775558e-17 5.551115e-17 -1.665335e-16 6.938894e-17
#> [5,] 0.000000e+00 2.775558e-17 5.551115e-17 -1.665335e-16
#> [6,] 0.000000e+00 0.000000e+00 2.775558e-17 5.551115e-17
#> [7,] -2.081668e-17 0.000000e+00 0.000000e+00 2.775558e-17
#> [8,] 0.000000e+00 -2.081668e-17 0.000000e+00 0.000000e+00
#> [9,] -1.387779e-17 0.000000e+00 -2.081668e-17 0.000000e+00
#> [10,] -2.880000e-01 -1.387779e-17 0.000000e+00 -2.081668e-17
#> [11,] 5.904000e-01 -2.880000e-01 -1.387779e-17 0.000000e+00
#> [12,] -2.880000e-01 5.904000e-01 -2.880000e-01 -1.387779e-17
#> [13,] -1.387779e-17 -2.880000e-01 5.904000e-01 -2.880000e-01
#> [14,] 0.000000e+00 -1.387779e-17 -2.880000e-01 2.304000e-01