Description Usage Arguments Value
Estimate the covariance matrices given filtered probabilities and other model parameters.
1 | estimate_error_covariances(Phi, beta, Z, regprobs, H, h)
|
Phi |
list, a list with the regime specific least squares matrices |
beta |
matrix, a matrix with the cointegration vectors |
Z |
list, a list with the data matrices |
regprobs |
list, a list with vectors regime probabilities |
H |
matrix, the restriction matrix |
the vectorized version of Omega
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