sigex.signal: Computes signal extraction matrix and error covariance matrix

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes signal extraction matrix and error covariance matrix

Description

Computes signal extraction matrix and error covariance matrix

Usage

sigex.signal(data.ts, param, mdl, sigcomps)

Arguments

data.ts	A T x N matrix ts object
param	model parameters entered into a list object with an intuitive structure.
mdl	The specified sigex model, a list object
sigcomps	Indices of the latent components composing the signal

Value

list object of f.mat and v.mat f.mat: array of dimension c(T,N,T,N), where f.mat[,j,,k] is the signal extraction matrix that utilizes input series k to generate the signal estimate for series j. v.mat: array of dimension c(T,N,T,N), where v.mat[,j,,k] is the error covariance matrix arising from input series k used to generate the signal estimate for series j.

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.