matlab vgxma函数,Convert VARMA model to VMA model

Start with a 2-dimensional VARMA(2, 2) specification structure in Spec:

load Data_VARMA22

Convert Spec into a pure VMA(2) model in SpecMA:

SpecMA = vgxma(Spec);

Display the original specification structure in Spec and compare with the new specification structure in SpecMA:

vgxdisp(Spec, SpecMA)

Model 1: 2-D VARMA(2,2) with No Additive Constant

Conditional mean is AR-stable and is MA-invertible

Model 2: 2-D VMA(2) with No Additive Constant

Conditional mean is AR-stable and is MA-invertible

Parameter Model 1 Model 2

-------------- -------------- --------------

AR(1)(1,1) 0.373935

(1,2) 0.124043

(2,1) 0.375488

(2,2) 0.259077

AR(2)(1,1) 0.0754758

(1,2) -0.0972418

(2,1) 0.0687406

(2,2) 0.0155532

MA(1)(1,1) 0.205242 0.579177

(1,2) -0.239925 -0.115882

(2,1) -0.0881847 0.287303

(2,2) -0.0617094 0.197368

MA(2)(1,1) -0.0682232 0.259465

(1,2) 0.0107276 -0.105364

(2,1) -0.155213 0.205435

(2,2) -0.0040213 0.0191531

Q(1,1) 0.08 0.08

Q(2,1) 0.01 0.01

Q(2,2) 0.03 0.03

Obtain the first 4 MA lags in SpecMA:

SpecMA = vgxma(Spec, 4);

vgxdisp(Spec, SpecMA);

Model 1: 2-D VARMA(2,2) with No Additive Constant

Conditional mean is AR-stable and is MA-invertible

Model 2: 2-D VMA(4) with No Additive Constant

Conditional mean is AR-stable and is MA-invertible

Parameter Model 1 Model 2

-------------- -------------- --------------

AR(1)(1,1) 0.373935

(1,2) 0.124043

(2,1) 0.375488

(2,2) 0.259077

AR(2)(1,1) 0.0754758

(1,2) -0.0972418

(2,1) 0.0687406

(2,2) 0.0155532

MA(1)(1,1) 0.205242 0.579177

(1,2) -0.239925 -0.115882

(2,1) -0.0881847 0.287303

(2,2) -0.0617094 0.197368

MA(2)(1,1) -0.0682232 0.259465

(1,2) 0.0107276 -0.105364

(2,1) -0.155213 0.205435

(2,2) -0.0040213 0.0191531

MA(3)(1,1) [] 0.138282

(1,2) [] -0.0649623

(2,1) [] 0.194931

(2,2) [] -0.039497

MA(4)(1,1) [] 0.0754946

(1,2) [] -0.039006

(2,1) [] 0.123456

(2,2) [] -0.0415703

Q(1,1) 0.08 0.08

Q(2,1) 0.01 0.01

Q(2,2) 0.03 0.03

Obtain just the 99th lag and display the result:

SpecMA = vgxma(Spec, 1, 99);

vgxdisp(SpecMA);

Model : 2-D VMA(1) with No Additive Constant

Conditional mean is AR-stable and is MA-invertible

Moving average lags: 99

MA(99) Moving Average Matrix:

2.09723e-30 -1.03631e-30

3.16333e-30 -8.85453e-31

Q Innovations Covariance:

0.08 0.01

0.01 0.03