get_Q_0 | R Documentation |
Computes the invariant covariance matrix for a vector autoregression model.
get_Q_0(Qmat, Fmat)
Qmat |
covariance matrix in transition density. |
Fmat |
coefficients in transition density. |
The invariant covariance matrix.
Fmat <- matrix(c(.8, .4, .1, .5), 2, 2) Qmat <- matrix(c( 1, .5, .5, 2), 2) x1 <- get_Q_0(Qmat = Qmat, Fmat = Fmat) x2 <- Qmat for(i in 1:101) x2 <- tcrossprod(Fmat %*% x2, Fmat) + Qmat stopifnot(isTRUE(all.equal(x1, x2)))
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