Student_densities_Cpp: Calculate log multivariate Student's t densities

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Calculate log multivariate Student's t densities

Description

Calculates logs of multivariate Student t densities with varying mean and varying covariance matrix AND EXCLUDING the constant term of the density (the constant is calculated and added in R code). The varying conditional covariance matrix is calculated within the function from the regime covariance matrices and transition weights.

Usage

Student_densities_Cpp(obs, means, covmats, alpha_mt, df)

Arguments

obs	a (T \times d) matrix such that the ith row contains the vector y_{i}=(y_{1i},...,y_{di}) (dx1). That is, the initial values are excluded but the last observations is included.
means	a (T \times d) matrix such that the ith row contains the conditional mean of the process \mu_{y,i}.
covmats	a (d \times d \times M) array such that the slice [, , m] contains the conditional covariance matrix of regime m.
alpha_mt	a (T \times M) matrix such that [t, m] contains the time t transition weights of the mth regime.
df	the degrees of freedom parameter value (assumed larger than two).

Details

Note that the parametrization is with the covariance matrix and not the scale matrix.

Value

a numeric vector containing the multivariate Student's t densities, excluding the constant term.

sstvars documentation built on April 11, 2025, 5:47 p.m.