gfevd: generalized forecast error variance decomposition
In joergrieger/bayesianConnectedness: Calculates spillover measures as in Diebold-Yilmaz (2009)
Description
generalized forecast error variance decomposition
Usage
1
gfevd(Alpha, Sigma, nhor)
Arguments
Alpha
nxnxp array of the VMA-coefficients
Sigma
nxn matrix with the variance-covariance matrix
nhor
horizon of the fevd
joergrieger/bayesianConnectedness documentation built on July 31, 2019, 9:36 a.m.
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.
Description
generalized forecast error variance decomposition
Usage
1 | gfevd(Alpha, Sigma, nhor)
|
Arguments
Alpha |
nxnxp array of the VMA-coefficients |
Sigma |
nxn matrix with the variance-covariance matrix |
nhor |
horizon of the fevd |
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.