Test the Drift Matrix

Both have to be true for the function to return TRUE.

• Test that the real part of all eigenvalues of \(\boldsymbol{\Phi}\) are less than zero.

• Test that the diagonal values of \(\boldsymbol{\Phi}\) are between 0 to negative inifinity.

Usage

TestPhi(phi)

Arguments

phi

Numeric matrix. The drift matrix (\(\boldsymbol{\Phi}\)).

See also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), PBSSMLinSDEFixed(), PBSSMOUFixed(), PBSSMVARFixed(), SimBetaN(), SimPhiN(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), TestStability(), TestStationarity()

Author

Ivan Jacob Agaloos Pesigan

Examples

phi <- matrix(
  data = c(
    -0.357, 0.771, -0.450,
    0.0, -0.511, 0.729,
    0, 0, -0.693
  ),
  nrow = 3
)
TestPhi(phi = phi)
#> [1] TRUE