generateTransMatrix: Transition matrix generation

In grundy95/changepoint.cov: Implementation of Covariance Changepoint Methods

Description

Generates transition matrices for wishartDataGeneration

Usage

generateTransMatrix(p, shape = 5, scale = 1/5)

Arguments

p	Dimension of the time series.
shape	Shape parameter for generation of eigenvalues in transition matrix. Only used with automatic generation of segment covariances.
scale	Scale parameter for generation of eigenvalues in transition matrix. Only used with automatic generation of segment covariances.

Value

A p by p transition matrix

See Also

wishartDataGeneration

grundy95/changepoint.cov documentation built on April 5, 2021, 6:21 p.m.