cv_var2vma: VMA representation of VAR estimate
In joergrieger/bayesianConnectedness: Calculates spillover measures as in Diebold-Yilmaz (2009)
Description
Usage
Arguments
Value
Description
VMA representation of VAR estimate
Usage
1
cv_var2vma(Alpha, vma_order, ar_order, k)
Arguments
Alpha
an nxnxp array with the VAR coefficients
vma_order
order of the vector moving average process
ar_order
the order of the vector autoregressive process
k
the number of variables in the VAR model
Value
an nxnxvma_order array of the moving average coefficients
joergrieger/bayesianConnectedness documentation built on July 31, 2019, 9:36 a.m.
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Description Usage Arguments Value
Description
VMA representation of VAR estimate
Usage
1 | cv_var2vma(Alpha, vma_order, ar_order, k)
|
Arguments
Alpha |
an nxnxp array with the VAR coefficients |
vma_order |
order of the vector moving average process |
ar_order |
the order of the vector autoregressive process |
k |
the number of variables in the VAR model |
Value
an nxnxvma_order array of the moving average coefficients
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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