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A VAR with p lags can always be equivalently rewritten as a VAR with only one lag by appropriately redefining the dependent variable. The transformation amounts to stacking the lags of the VAR(p) variable in the new VAR(1) dependent variable and appending identities to complete the precise number of equations. For example, the VAR(2) model
More generally, an impulse response is the reaction of any dynamic system in response to some external change. In both cases, the impulse response describes the reaction of the system as a function of time (or possibly as a function of some other independent variable that parameterizes the dynamic behavior of the system).
The impulse response of a system is the change in an evolving variable in response to a change in the value of a shock term k periods earlier, as a function of k. Since the AR model is a special case of the vector autoregressive model, the computation of the impulse response in vector autoregression#impulse response applies here.
The general ARMA model was described in the 1951 thesis of Peter Whittle, Hypothesis testing in time series analysis, and it was popularized in the 1970 book by George E. P. Box and Gwilym Jenkins. ARMA models can be estimated by using the Box–Jenkins method.
Definition 2: Suppose () is the impulse response of any system described by a linear constant coefficient differential equation. The system H {\displaystyle H} is causal if and only if h ( t ) = 0 , ∀ t < 0 {\displaystyle h(t)=0,\quad \forall \ t<0}
For a rational and continuous-time system, the condition for stability is that the region of convergence (ROC) of the Laplace transform includes the imaginary axis.When the system is causal, the ROC is the open region to the right of a vertical line whose abscissa is the real part of the "largest pole", or the pole that has the greatest real part of any pole in the system.
The result is a finite impulse response filter whose frequency response is modified from that of the IIR filter. Multiplying the infinite impulse by the window function in the time domain results in the frequency response of the IIR being convolved with the Fourier transform (or DTFT) of the window function. If the window's main lobe is narrow ...
The point spread function (PSF) describes the response of a focused optical imaging system to a point source or point object. A more general term for the PSF is the system's impulse response; the PSF is the impulse response or impulse response function (IRF) of a focused optical imaging system. The PSF in many contexts can be thought of as the ...