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2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...ix(0, p, q+1)
F <- col(SXZ)-row(SXZ)
E <- F>=1
SXZ[E] <- rXZ[F[E]]
S <- rbind(cbind(SX,SXZ),cbind(t(SXZ),diag(q+1)))
}
Q0 <- A%*%S%*%t(A)
}
The second way is to resolve brutally the equation of Gardner et al.
in the form (12), page 314 of their paper.
Q0ter <- function(phi,theta){
p <- length(phi)
q <- length(theta)
r <- max(p,q+1)
T <- matrix(0,r,r)
if (p) T[1:p,1] <- phi
if (r) T[1:(r-1),2:r] <- diag(r-1)
V <- matrix(0,r,r)
ttheta <- c(1,theta)
V[1:(q+1),1:(q+1)] <- ttheta%x%t(ttheta)
V <...