mean_var_process: Compute the mean of a VAR(p) process

In nielsaka/zeitreihe: Simulate, Estimate, Select, and Forecast Multiple Time Series Processes

Description

Convert the intercept of the VAR(p) process to the mean and vice versa.

Usage

mean_var_process(A, nu)

nu2mu(A, nu)

mu2nu(A, mu)

Arguments

A	A (K x Kp) matrix, providing the coeffcients for lag 1 to p with the first row containing the coefficents of the first equation. Parameter p is the maximum lag length and K the number of variables.
nu	A (K x 1) matrix of intercepts.
mu	A (K x 1) matrix of means.

Details

nu2mu(A, nu) is an alias for mean_var_process(A, nu).

Value

A (K x 1) matrix containing either the unconditional mean or the intercept for each variable.

Examples

 A <- matrix(c(.5, .4, .1, .5, 0, .25, 0, 0), nrow = 2)
 nu <- as.matrix(c(2, 3))
 nu2mu(A, nu)
 mu2nu(A, nu2mu(A, nu))

## Not run: 

 A <- matrix(c(1, 0, 0, 1), nrow = 2)
 nu <- c(2, 3)
 mean_var_process(A, nu)
 
## End(Not run)

nielsaka/zeitreihe documentation built on March 17, 2020, 8:38 p.m.