[R] Testing invertibility of an AR model
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue Apr 10 07:49:09 CEST 2007
The following is an internal function in arima()
arCheck <- function(ar) {
p <- max(which(c(1, -ar) != 0)) - 1
if (!p)
return(TRUE)
all(Mod(polyroot(c(1, -ar[1:p]))) > 1)
}
On Tue, 10 Apr 2007, Leeds, Mark (IED) wrote:
> I've looked around but I can't find the method in R for testing whether
> the resulting estimated coefficients
> of an AR model imply that the model is invertible.
>
> To quote from eric zivot's blue book :
Which really doesn't help us. (I suspect you mean Zivot and Wang.)
This is standard times series material.
>
> " the AR(p) is invertible provided the rots of the characteristic
> equation
>
> Phi(z) = 1 - phi_1*z - phi_2*z^2 = phi_3*z^3 - ..... Phi_p*z^p = 0 lie
> outside
> the complex circle".
>
> I can't find a function nor do I know how to do the above myself. I
> think there is an equivalent method in which
> I can check whether the eigenvalues of some dual equation ( I forget
> what it is ) are less than one but I don't
> remember exactly what that equation is and , even if I did, I still
> wouldn't know how to do it.
>
> Maybe checking whether the absolute of the sum of the coefficients is
> less than one is okay ?
> I remember doing that in another life but I'm not sure if that's an
> approximation or an actual test.
>
>
> Thanks for any help.
> --------------------------------------------------------
>
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>
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--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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