Sigma: Sigma
In multibreakeR: Tests for a Structural Change in Multivariate Time Series
Sigma R Documentation
Sigma
Description
#compute the covariance matrix of errors as in Bai, Lumsdaine, and Stock (1998)
Usage
Sigma(mat.z, mat.y.ex, mat.beta, n.eq)
Arguments
mat.z
A matrix of breaking and non breaking time series
mat.y.ex
A vectorized matrix of time series
mat.beta
The matrix of parameters
n.eq
The number of equations in the VAR system
Value
The covariance matrix of errors
multibreakeR documentation built on May 31, 2023, 6:06 p.m.
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| Sigma | R Documentation |
Sigma
Description
#compute the covariance matrix of errors as in Bai, Lumsdaine, and Stock (1998)
Usage
Sigma(mat.z, mat.y.ex, mat.beta, n.eq)
Arguments
mat.z |
A matrix of breaking and non breaking time series |
mat.y.ex |
A vectorized matrix of time series |
mat.beta |
The matrix of parameters |
n.eq |
The number of equations in the VAR system |
Value
The covariance matrix of errors
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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