Grocer Function

NAME

theta2arm2 - transformation of VARMA estimate into the corresponding matrices

CALLING SEQUENCE

[AR,ARS,MA,MAS,V,G]=theta2arm2(theta,theta2mat,fromgrad)

PARAMETERS

Input

Output

DESCRIPTION

Recovers the matrices of an ARMA process from the values of the estimated parameters.

EXAMPLE

mtlb_load('SCI/scied/grocer/encours/e4sci/seriesa.dat'); elec_cons = transdif(seriesa,0,1,1,12); results=varma(elec_cons,[],[],0,0,0,12); grocer_AR=[];grocer_ARS=[];grocer_MA=[];grocer_MAS=[];grocer_V=[];grocer_G[]; [AR,ARS,MA,MAS,V,G]=theta2arm2(results('coeff'),results('theta2mat'),1)

Although theta2arm2 is mainly useful for the estimation of a VARMA model, this example shows how it can be used to recover the estimated matrices from the tlist results produced by the function VARMA. Note however that it imposes to define the matrices grocer_AR,..., grocer_G; so this capability should be used with care...

AUTHOR

Jaime Terceiro, 1997/ Eric Dubois 2004