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
Status: | new → accepted |
---|
comment:2 Changed 15 years ago by
Resolution: | → fixed |
---|---|
Status: | accepted → closed |
comment:3 Changed 15 years ago by
Resolution: | fixed |
---|---|
Status: | closed → reopened |
comment:4 Changed 15 years ago by
Status: | reopened → accepted |
---|
comment:5 Changed 15 years ago by
Resolution: | → fixed |
---|---|
Status: | accepted → closed |
(In [1603]) Fixed #762