.covCUBS {RGAP} | R Documentation |
computes the unconditional variance of the cubs equation with p lags of cubs and k additional lags of the cycle. The cycle follows an AR process of order l.
Description
computes the unconditional variance of the cubs equation with p lags of cubs and k additional lags of the cycle. The cycle follows an AR process of order l.
Usage
.covCUBS(mu, phi, beta, sigma, phiC, sigmaC)
Arguments
mu |
constant. |
phi |
|
beta |
|
sigma |
the innovation variance of the cubs process. |
phiC |
|
sigmaC |
the innovation variance of the cycle process. |
Value
A list with a two covariance matrices; the first one depicts the covariance between the cycle and cubs and the second onf the covariance of cubs.
[Package RGAP version 0.1.1 Index]