vech: Vectorise a symmetric matrix

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

Description

Vectorise a symmetric matrix by stacking the elements on its lower triangular matrix including the diagonal.

Usage

vech(mat)

Arguments

mat	An (M x M) matrix with arbitrary dimensions M.

Value

A column matrix of dimension (M^2 + M)/2 x 1.

Examples

mat <- matrix(1:8, 4, 4)
mat[upper.tri(mat)] <- t(mat)[upper.tri(mat)]
vech(mat)

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