https://github.com/geobosh/mcompanion

R package for multi-companion matrices with methods for generation of models with given spectral properties
https://github.com/geobosh/mcompanion

eigen-vector-decomposition matrices periodic r time-series

Last synced: about 1 month ago
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R package for multi-companion matrices with methods for generation of models with given spectral properties

• Host: GitHub
• URL: https://github.com/geobosh/mcompanion
• Owner: GeoBosh
• Created: 2019-12-14T08:56:56.000Z (almost 5 years ago)
• Default Branch: master
• Last Pushed: 2023-11-25T08:21:38.000Z (12 months ago)
• Last Synced: 2024-10-03T20:09:38.531Z (about 2 months ago)
• Topics: eigen-vector-decomposition, matrices, periodic, r, time-series
• Language: R
• Homepage: https://geobosh.github.io/mcompanion/
• Size: 5.21 MB
• Stars: 0
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
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# Installing mcompanion

The [latest stable version](https://cran.r-project.org/package=mcompanion) is on

CRAN.

    install.packages("mcompanion")

You can install the [development version](https://github.com/GeoBosh/mcompanion) of

`mcompanion` from Github:

    remotes::install_github("GeoBosh/mcompanion")

# Overview

Package "mcompanion" provides a class for multi-companion matrices with methods

for arithmetic and factorization.  A method for generation of multi-companion

matrices with prespecified spectral properties is provided, as well as some

utilities for periodically correlated and multivariate time series models. See

[Boshnakov (2002)](https://dx.doi.org/10.1016/S0024-3795(01)00475-X) and

[Boshnakov & Iqelan (2009)](https://dx.doi.org/10.1111/j.1467-9892.2009.00617.x).

Package "mcompanion" implements multi-companion matrices as discussed by

Boshnakov (2002) and Boshnakov and Iqelan (2009).  The main feature is the

provided parsimonious parameterisation of such matrices based on their

eigenvalues and the seeds for their eigenvectors.  This can be used for

specification and parameterisation of models for time series and dynamical

systems in terms of spectral characteristics, such as the poles of the

associated filters or transition matrices.

See also [the web site](https://geobosh.github.io/mcompanion/) of mcompanion.