State Mean Vector for the State Space Model

This function calculates the state mean vector for the state space model given by $$ \mathrm{Mean} \left( \boldsymbol{\eta} \right) = \left( \mathbf{I} - \boldsymbol{\beta} \right)^{-1} \boldsymbol{\alpha} . $$

Usage

SSMMean(beta, alpha)

Arguments

beta

Numeric matrix. The transition matrix (\(\boldsymbol{\beta}\)).

alpha

Numeric vector. Vector of constant values for the dynamic model (\(\boldsymbol{\alpha}\)).

See also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), LinSDECov(), LinSDEMean(), SSMCov(), SimAlphaN(), SimBetaN(), SimCovDiagN(), SimCovN(), SimIotaN(), SimPhiN(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), TestPhi(), TestStability(), TestStationarity()

Author

Ivan Jacob Agaloos Pesigan

Examples

beta <- 0.50 * diag(3)
alpha <- rep(x = 0.001, times = 3)
SSMMean(beta = beta, alpha = alpha)
#>       [,1]
#> [1,] 0.002
#> [2,] 0.002
#> [3,] 0.002