[R] stabilitytest dse package

[Bert Gunter]

Did you work your way through the package vignette? If not, you should
certainly do so. Otherwise, I cannot be of any help.

Cheers,
Bert

Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374

"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
H. Gilbert Welch




On Tue, May 13, 2014 at 9:03 AM, Jesper Hybel Pedersen
<jesperhybel at hotmail.com> wrote:
> I'm trying to learn how to use the dse-package. Doing a stabilitytest on a model.
> I run the test on two models that are identical except for
>
> Model 1: TREND=0
> Model 2: TREND=NULL
>
> and find the following difference in output unexpected:
>
> library(dse)
> AR=array(c(1,-0.8,-0.15),c(3,1,1))
> model=ARMA(A=AR,B=1,TREND=0)
> stability(model)
> #> Distinct roots of det(A(L)) and moduli are:
> #>           [,1]      [,2]
> #>[1,]  1.0000000 1.0000000
> #>[2,]  1.0451762 1.0451762
> #>[3,] -6.3785096 6.3785096
> #>Trend not taken into account: The system is NOT stable.
> #>[1] FALSE
> #>attr(,"roots")
>  #>    Inverse of distinct roots of det(A(L))    moduli
> #>[1,]                              1.0000000 1.0000000
> #>[2,]                              0.9567764 0.9567764
> #>[3,]                             -0.1567764 0.1567764
> #>Advarselsbesked:
> #>In roots.ARMA(obj, fuzz = fuzz, randomize = FALSE) :
>  #> Unit roots may need to be added for non-zero trend elements.
>
> AR=array(c(1,-0.8,-0.15),c(3,1,1))
> model=ARMA(A=AR,B=1,TREND=NULL)
> stability(model)
>
> #>Distinct roots of det(A(L)) and moduli are:
> #>           [,1]      [,2]
> #>[1,]  1.0451762 1.0451762
> #>[2,] -6.3785096 6.3785096
> #>The system is stable.
> #>[1] TRUE
> #>attr(,"roots")
> #>     Inverse of distinct roots of det(A(L))    moduli
> #>[1,]                              0.9567764 0.9567764
> #>[2,]                             -0.1567764 0.1567764
>
>
> I am using:
> R version 3.0.3 (2014-03-06) "Warm Puppy"
>
> Best Regards
> Jesper Hybel Pedersen
> Denmark
>
>
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>
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