Psi(vars)
Psi()所属R语言包：vars
Coefficient matrices of the orthogonalised MA represention
系数矩阵MA“重要orthogonalised
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Returns the estimated orthogonalised coefficient matrices of the moving average representation of a stable VAR(p) as an array.
稳定的VAR（对）的移动平均表示返回估计orthogonalised的系数矩阵为一个数组。
用法----------Usage----------
## S3 method for class 'varest'
Psi(x, nstep=10, ...)
## S3 method for class 'vec2var'
Psi(x, nstep=10, ...)
参数----------Arguments----------
参数：x
An object of class "varest", generated by VAR(), or an object of class "vec2var", generated by vec2var().
对象，所产生的varest，或对象类的VAR()类vec2var，所产生的vec2var()。
参数：nstep
An integer specifying the number of othogonalised moving error coefficient matrices to be calculated.
一个整数，指定的数量来计算的othogonalised运动误差系数矩阵。
参数：...
Dots currently not used.
点目前未使用。
Details
详细信息----------Details----------
In case that the components of the error process are instantaneously correlated with each other, that is: the off-diagonal elements of the variance-covariance matrix Σ_u are not null, the impulses measured by the Φ_s matrices, would also reflect disturbances from the other variables. Therefore, in practice a Choleski decomposition has been propagated by considering Σ_u = PP' and the orthogonalised shocks \bold{ε}_t = P^{-1}\bold{u}_t. The moving average representation is then in the form of:
在错误过程中的组件的情况下，瞬间彼此相关的，是：元素的方差 - 协方差矩阵的非对角（off-diagonal）Σ_u不为空，Φ_s矩阵测量的冲动，也反映了其他变量的干扰。因此，在实践中Choleski分解传播的考虑Σ_u = PP'和orthogonalised的冲击\bold{ε}_t = P^{-1}\bold{u}_t。的移动平均值表示的形式，然后：
whith Ψ_0 = P and the matrices Ψ_s are computed as Ψ_s = Φ_s P for s = 1, 2, 3, ….
蒙山Ψ_0 = P和矩阵Ψ_s计算Ψ_s = Φ_s Ps = 1, 2, 3, …。
值----------Value----------
An array with dimension (K \times K \times nstep + 1) holding the estimated orthogonalised coefficients of the moving average representation.
一个数组，维度(K \times K \times nstep + 1)保持移动平均表示的估计orthogonalised系数。
注意----------Note----------
The first returned array element is the starting value, i.e., Ψ_0. Due to the utilisation of the Choleski decomposition, the impulse are now dependent on the ordering of the vector elements in \bold{y}_t.
第一个返回的数组元素的初始值，即，Ψ_0。由于利用的Choleski分解，冲动现在依赖于在\bold{y}_t的矢量元素的排序。
（作者）----------Author(s)----------
Bernhard Pfaff
参考文献----------References----------
University Press, Princeton.
Analysis, Springer, New York.
参见----------See Also----------
Phi, VAR, SVAR, vec2var
Phi，VAR，SVAR，vec2var
实例----------Examples----------
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
Psi(var.2c, nstep=4)
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-10-1 14:29:18
