init_wrap: Obtain initial values corresponding to a given model...

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

Obtain initial values corresponding to a given model specification

Description

init_wrap estimates the initial values for a given model specification, this function is a helper to the function boot_init

Usage

init_wrap(data, nu, degs = NULL, tmpl_mod, reg_prm = NULL)

Arguments

data	matrix of dimension (T x N), whereT is the number of observations and N is the number of variables
nu	vector of right 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, see rmfd4dfm:::tmpl_rmfd_echelon_ss
reg_prm	regularization parameter governing the std deviation of the randomly drawn noise vector, see also estim_wrap

Value

a list of elements

params0	a vector of initial parameters
sigma	q x q initial error covariance matrix

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