Occasional Staff StudiesThe Anderson-Moore Algorithm (AMA)
Characterize the dynamics of xt where
Anderson-Moore Algorithm Output Matrices
Q - Asymptotic Linear Constraints Matrix such that
for all xt satisfying the linear homogeneous system.
B - Autoregressive Representation Matrix
satisfies the linear homogeneous system and lim k||xt+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 ).