Test Stationarity

The function computes the eigenvalues of the input matrix x. It checks if all eigenvalues have moduli less than 1. If all eigenvalues have moduli less than 1, the system is considered stationary.

Usage

TestStationarity(x, margin = 1)

Arguments

x

Numeric matrix.

margin

Numeric scalar specifying the stationarity threshold. Values less than 1 indicate stricter stationarity criteria.

See also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), LinSDECovEta(), LinSDECovY(), LinSDEMeanEta(), LinSDEMeanY(), ProjectToHurwitz(), ProjectToStability(), SSMCovEta(), SSMCovY(), SSMMeanEta(), SSMMeanY(), SimAlphaN(), SimBetaN(), SimBetaN2(), SimCovDiagN(), SimCovN(), SimIotaN(), SimNuN(), SimPhiN(), SimPhiN2(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), SpectralRadius(), TestPhi(), TestPhiHurwitz(), TestStability()

Author

Ivan Jacob Agaloos Pesigan

Examples

x <- matrix(
  data = c(0.5, 0.3, 0.2, 0.4),
  nrow = 2
)
TestStationarity(x)
#> [1] TRUE

x <- matrix(
  data = c(0.9, -0.5, 0.8, 0.7),
  nrow = 2
)
TestStationarity(x)
#> [1] FALSE