Description Usage Arguments Value
Fit a TVVAR model for vector autoregressive data
1 | tvvar_fit(it, X, tau, b)
|
it |
Specify the time point we are researching |
X |
T*d array which stores the data of the time series. T is the length of time and d is the dimension. |
tau |
penalty parameter |
b |
bandwidth |
Estimation of transition matrix at time it
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