The function may be called by the names: g13dxc, nag_tsa_uni_arma_roots or nag_tsa_arma_roots.
Consider the vector autoregressive moving average (VARMA) model
where denotes a vector of time series and is a vector of residual series having zero mean and a constant variance-covariance matrix. The components of are also assumed to be uncorrelated at non-simultaneous lags. denotes a sequence of matrices of autoregressive (AR) parameters and denotes a sequence of matrices of moving average (MA) parameters. is a vector of length containing the series means. Let
where denotes the identity matrix.
The model (1) is said to be stationary if the eigenvalues of lie inside the unit circle. Similarly let
Then the model is said to be invertible if the eigenvalues of lie inside the unit circle.
g13dxc returns the eigenvalues of (or the eigenvalues of ) along with their moduli, in descending order of magnitude. Thus to check for stationarity or invertibility you should check whether the modulus of the largest eigenvalue is less than .
Wei W W S (1990) Time Series Analysis: Univariate and Multivariate Methods Addison–Wesley
1: – IntegerInput
On entry: , the dimension of the multivariate time series.
2: – IntegerInput
On entry: the number of AR (or MA) parameter matrices, (or ).
3: – const doubleInput
On entry: the AR (or MA) parameter matrices read in row by row in the order (or ). That is,
must be set equal to the th element of , for (or the
th element of , for ).
4: – doubleOutput
On exit: the real parts of the eigenvalues.
5: – doubleOutput
On exit: the imaginary parts of the eigenvalues.
6: – doubleOutput
On exit: the moduli of the eigenvalues.
7: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument had an illegal value.
An excessive number of iterations have been required to calculate the eigenvalues.
On entry, .
On entry, .
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
The accuracy of the results depends on the original matrix and the multiplicity of the roots.
8Parallelism and Performance
g13dxc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g13dxc makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
The time taken is approximately proportional to (or ).
This example finds the eigenvalues of where and and .