TSROOT Call

Language Reference

TSROOT Call

calculates AR and MA coefficients from the characteristic roots of the model or calculates the characteristic roots of the model from the AR and MA coefficients

CALL TSROOT( matout, matin, nar, nma, <,qcoef, print>);

The inputs to the TSROOT subroutine are as follows:

matin: refers to the ( nar + nma) ×2 characteristic root matrix if the polynomial (ARMA) coefficients are requested (qcoef=1), where the first column of the matin matrix contains the real part of the root and the second column of the matin matrix contains the imaginary part of the root. When the characteristic roots are requested (qcoef=0), the first nar rows are complex AR coefficients and the last nma rows are complex MA coefficients. The default is qcoef=0.
nar: specifies the order of the AR process. If you specify the subset AR model, the input nar should be a row or column vector.
nma: specifies the order of the MA process. If you specify the subset MA model, the input nma should be a row or column vector.
coef: refers to the max( nar,nma) ×2 characteristic root matrix if qcoef=1, where the first column of the coef matrix contains the real part of the root and the second column of the coef matrix contains the imaginary part of the root. When the characteristic roots are requested (qcoef=0), the first column of the COEF matrix contains the AR coefficients and the second column contains the MA coefficients.
qcoef: requests the ARMA coefficients when the characteristic roots are provided (qcoef=1). By default, the characteristic roots of the polynomial are calculated (qcoef=0).
print: specifies the print option if print=1. By default, printed output is suppressed (print=0).

The TSROOT subroutine returns the following values

matout: refers to the characteristic root matrix if qcoef=0; otherwise, the matout matrix contains the AR and MA coefficients.

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