nts.omega: Determine Omega, conditional on alpha,beta and gamma

nts.omegaR Documentation

Determine Omega, conditional on alpha,beta and gamma

Description

Determine Omega, conditional on alpha,beta and gamma

Usage

nts.omega(Y, X, Z, gamma, beta, alpha, rho)

Arguments

Y

Response Time Series

X

Time Series in Differences

Z

Time Series in Levels

gamma

Estimate of the short-run effects

beta

Estimate of the cointegrating vector

alpha

Estimate of the adjustment coefficients

rho

A single or multiple values for the tuning parameter rho for the glasso algorithm.

Value

The omega matrix as estimated with glasso, and the selected value for rho.


jonlachmann/sparsecoint documentation built on April 14, 2022, 10:49 a.m.