ARMADLM—State-space representation for ARMA model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

ARMADLM—State-space representation for ARMA model

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@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.

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