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Opened 15 years ago

Closed 15 years ago

#762 closed enhancement (fixed)

BSR: Convert ARMA factors to polynomials along the Markov Chain

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: highest Milestone: BSR Interface
Component: Math Version: 2.0.1
Severity: blocker Keywords:
Cc:

Description

Current ARMA simulator can only handle with AR and MA polynomials of degrees 1 or 2. So, polynomials with higher degrees must be factorized. If you want to simulate this structure

[[
  ARIMAStruct(1,1-0.01*B-0.01*B^2-0.01*B^3,1,1)
]]

you must to convert it in this one

[[
  ARIMAStruct(1,1-0.01*B-0.01*B^2, 1,1),
  ARIMAStruct(1,1-0.01*B,          1,1)
]]

Even, if you know that all roots must be real, then you can suplly this other one

[[
  ARIMAStruct(1,1-0.01*B, 1,1),
  ARIMAStruct(1,1-0.01*B, 1,1),
  ARIMAStruct(1,1-0.01*B, 1,1)
]]

If you want to simulate this structure

[[
  ARIMAStruct(1,1-0.01*B-0.01*B^2-0.01*B^3-0.01*B^4,1,1)
]]

you must to convert it in this one

[[
  ARIMAStruct(1,1-0.01*B-0.01*B^2, 1,1),
  ARIMAStruct(1,1-0.01*B-0.01*B^2, 1,1)
]]

The problem appairs when you try to make inference over the Markov chain of simulated parameters, due to there are no constraint to avoid that the simulations cross their identitities.

The solution is very simple: we only need to rebuilt the full polinomial of each simulation to get a Markov Chain of unmistakable coefficients.

Change History (5)

comment:1 Changed 15 years ago by Víctor de Buen Remiro

Status: newaccepted

comment:2 Changed 15 years ago by Víctor de Buen Remiro

Resolution: fixed
Status: acceptedclosed

(In [1603]) Fixed #762

comment:3 Changed 15 years ago by Víctor de Buen Remiro

Resolution: fixed
Status: closedreopened

Sorry, I've written "Fixed #762" instead of "Fixed #772" in last commit

comment:4 Changed 15 years ago by Víctor de Buen Remiro

Status: reopenedaccepted

comment:5 Changed 15 years ago by Víctor de Buen Remiro

Resolution: fixed
Status: acceptedclosed

(In [2077]) Allows BSR to handle with ARMA factors with degree great than 2
Fixes #762

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