tvPsi | R Documentation |
Returns the estimated orthogonalised time-varying coefficient arrays of the
moving average representation of a stable tvvar
object obtained with function tvVAR
.
tvPsi(x, nstep = 10, ortho.cov = "const", bw.cov = NULL, ...)
x |
An object of class |
nstep |
An integer specifying the number of othogonalised moving error coefficient matrices to be calculated for each time t. |
ortho.cov |
A character either 'const' if the error cov matrix must be estimated by a constant or 'tv' if it is estimated as a time-varying matrix. Default is 'const'. |
bw.cov |
A scalar (optional) with the bandwidth to estimate the errors variance-covariance matrix. |
... |
Other parameters passed to specific methods. |
A list with an array of dimensions (obs x neq x neq nstep + 1) holding the estimated time varying coefficients of the moving average representation, and the bandwidth used to estimate the covariance matrix (optional).
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