ARMADLM—State-space representation for ARMA model
Posted: Tue Oct 01, 2019 9:33 am
@ARMADLM sets up the A and F matrices for a state-space model (DLM) based upon the ARMA model in an input equation. This can actually be an ARIMA equation: the state-space representation will then have some unit roots.
Detailed description
Detailed description