companionMat: Companion Matrix
In MSTest: Hypothesis Testing for Markov Switching Models
companionMat R Documentation
Companion Matrix
Description
This function converts the (q x 1) vector of constants and (q x qp) matrix of autoregressive coefficients into (qp x qp) matrix belonging to the companion form
Usage
companionMat(phi, p, q)
Arguments
phi
matrix of dimension (q x qp) containing autoregressive coefficients.
p
integer for number of autoregressive lags.
q
integer for number of series.
Value
matrix of dimension (qp x qp) of companion form.
MSTest documentation built on Oct. 31, 2024, 1:06 a.m.
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| companionMat | R Documentation |
Companion Matrix
Description
This function converts the (q x 1) vector of constants and (q x qp) matrix of autoregressive coefficients into (qp x qp) matrix belonging to the companion form
Usage
companionMat(phi, p, q)
Arguments
phi |
matrix of dimension ( |
p |
integer for number of autoregressive lags. |
q |
integer for number of series. |
Value
matrix of dimension (qp x qp) of companion form.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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