Kronspec function

Kronecler Index Specification

For a given set of Kronecker indices, the program specifies a VARMA model. It gives details of parameter specification.

Kronspec(kdx, output = TRUE)

Arguments

• kdx: A vector of Kronecker indices
• output: A logical switch to control output. Default is with output.

Returns

• PhiID: Specification of the AR matrix polynomial. 0 denotes zero parameter, 1 denotes fixing parameter to 1, and 2 denotes the parameter requires estimation

• ThetaID: Specification of the MA matrix polynomial

References

Tsay (2014, Chapter 4)

Author(s)

Ruey S. Tsay

Examples

kdx=c(2,1,1)
m1=Kronspec(kdx)
names(m1)