selector_J: Create Selection Matrix 'J'

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

Description

Create the selection matrix J for converting objects in VAR(1) companion format to their original VAR(p) representation.

Usage

selector_J(K, p)

Arguments

K	An integer scalar. The number of variables of the VAR(p) system.
p	An integer scalar. The lag length of the VAR(p) system.

Value

A (K x Kp) numerical matrix containing ones and zeros in selected places. The first (K x K) elements form an identity matrix. The rest are zeros.

Examples

K <- 4
p <- 2

J <- zeitreihe:::selector_J(K, p)

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