normalize_irf: Normalize zero-lag coefficient of the IRF

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

Normalize zero-lag coefficient of the IRF

Description

Depending on the template/identification scheme, the first dim_in rows of the zero-lag coefficient of the transfer function are either normalized to the identity matrix or lower triangular.

Usage

normalize_irf(pseries_obj, type = c("identity", "lq_decomp"))

Arguments

pseries_obj	IRF object, should have sufficiently many lags
type	Character string. Either identity or lq_decomp. In the former case the first submatrix of the tall transfer function will be transformed to the identity matrix. In the latter case, this submatrix will be made lower triangular by an orthogonal transformation.

Value

a list of elements

pseries_array	the normalised transfer function as array
noise_L	the inverse of the matrix used for normalising

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