Occasional Staff StudiesThe AndersonMoore Algorithm (AMA)
AMA Code
Problem Statement
Characterize the dynamics of x_{t} where
AndersonMoore Algorithm Output Matrices
Q  Asymptotic Linear Constraints Matrix such that
for all x_{t} satisfying the linear homogeneous system.
B  Autoregressive Representation Matrix
satisfies the linear homogeneous system and lim _{k}x_{t}+k < .

S  Observable Structure Matrix
determine the existence and uniqueness of an observable structure matrix, S such that
,  Stochastic Transition Matrices
The SPSolve routine computes cof(for H), cofb(for B), scof(for S), dTrans(for ), and bTrans(for ).
Last update:
August 2, 2013