estimate_error_covariances: Estimate the covariance matrices given filtered probabilities...
In EmilNejst/rscivem:
Description
Usage
Arguments
Value
Description
Estimate the covariance matrices given filtered probabilities and
other model parameters.
Usage
1
estimate_error_covariances(Phi, beta, Z, regprobs, H, h)
Arguments
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
Value
the vectorized version of Omega
EmilNejst/rscivem documentation built on May 21, 2019, 1:41 p.m.
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Description Usage Arguments Value
Description
Estimate the covariance matrices given filtered probabilities and other model parameters.
Usage
1 | estimate_error_covariances(Phi, beta, Z, regprobs, H, h)
|
Arguments
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 |
Value
the vectorized version of Omega
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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