#' compute_Sigma_y
#'
#' @param Phi
#' @param Sigma_res
#'
#' @return
#' @export
#'
compute_Sigma_y = function(Phi, Sigma_res) {
n = length(Phi)
# Pre-allocate ----
# Let first list element represent Phi_0=I_k
Sigma_y = lapply(1:n, function(i) {
diag(0, nrow(Sigma_res), ncol(Sigma_res))
})
# Sigma_1:
Sigma_y[[1]] = Sigma_res
# Iterate ----
for (i in 1:(n-1)) {
Sigma_y[[i+1]] = Sigma_y[[i]] + Phi[[i+1]] %*% Sigma_res %*% t(Phi[[i+1]])
}
return(Sigma_y)
}
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