init_vals: Initial values for RMFD model

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Initial values for RMFD model

Description

init_vals gives the initial values of the RMFD model in state space format. The initial values are calculated from the input IRF that is used to generate the Hankel matrix, which are used in the regressions to determine parameter matrices associated with the lag polynomials c(z) and d(z).

Usage

init_vals(irf_obj, nu, degs = NULL, tmpl_mod)

Arguments

irf_obj	impulse response function object of dimension (n, q, lag.max+1)
nu	vector of Kronecker indices
degs	vector of length 2, where one can optionally specify the degrees of c(z) and d(z), either of the parameters must be equal to max(nu)
tmpl_mod	model template for extracting the initial values

Value

a list of elements

init_val	a vector of initial values
sigma	error covariance matrix

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.