get_omega_eigens: Calculate the eigenvalues of the "Omega" error term...
In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models
get_omega_eigens R Documentation
Calculate the eigenvalues of the "Omega" error term covariance matrices
Description
get_omega_eigens calculates the eigenvalues of the "Omega" error
term covariance matrices for each regime
Usage
get_omega_eigens(stvar)
Arguments
stvar
object of class "stvar"
Value
Returns a matrix with d rows and M columns - one column for each regime.
The mth column contains the eigenvalues of the "Omega" error term covariance matrix
of the mth regime.
References
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
sstvars documentation built on Sept. 16, 2025, 1:09 a.m.
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| get_omega_eigens | R Documentation |
Calculate the eigenvalues of the "Omega" error term covariance matrices
Description
get_omega_eigens calculates the eigenvalues of the "Omega" error
term covariance matrices for each regime
Usage
get_omega_eigens(stvar)
Arguments
stvar |
object of class |
Value
Returns a matrix with d rows and M columns - one column for each regime.
The mth column contains the eigenvalues of the "Omega" error term covariance matrix
of the mth regime.
References
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
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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