create_Fi_matrix: Create Matrix F_i
| create_Fi_matrix | R Documentation |
Create Matrix F_i
Description
create_Fi_matrix function generates a (T_obs \times T_obs) matrix
with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.
Usage
create_Fi_matrix(i, T_obs)
Arguments
i |
Integer, the lag for which the matrix is constructed, corresponding to the sub-diagonal filled with 1's. |
T_obs |
Integer, the number of time periods or observations in the dataset, corresponding to the dimensions of the matrix. |
Details
Used in Portmanteau_test. The matrix F_i in Lütkepohl (2005), p.158.
Value
A (T_obs \times T_obs) matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.
References
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
