stability {dse1}R Documentation

Calculate Stability of a TSmodel

Description

Calculate roots and their modulus and indicate stability.

Usage

    stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'ARMA':
    stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'roots':
    stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'TSmodel':
    stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    ## S3 method for class 'TSestModel':
    stability(obj, fuzz=1e-4, eps=1e-15, digits=8, verbose=TRUE)
    

Arguments

obj An object of class TSmodel.
fuzz Roots within fuzz are considered equal.
eps Roots with modulus less than (1-eps) are considered stable.
digits Printing precision.
verbose Print roots and there moduli.

Details

eps prevents the indication of a stable model when the largest root is within rounding error of 1.0.

Value

TRUE or FALSE if the model is stable or not stable.

Side Effects

The eigenvalues of the state transition matrix or the roots of the determinant of the AR polynomial are printed if verbose is T.

See Also

McMillanDegree

Examples

data("eg1.DSE.data.diff", package="dse1")
model <- estVARXls(eg1.DSE.data.diff)
stability(model)

[Package dse1 version 2008.10-1 Index]