VAR_pcovmat: Calculate the dp-dimensional covariance matrix of p...

In saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Calculate the dp-dimensional covariance matrix of p consecutive observations of a VAR process

Description

VAR_pcovmat calculate the dp-dimensional covariance matrix of p consecutive observations of a VAR process with the algorithm proposed by McElroy (2017).

Usage

VAR_pcovmat(p, d, all_Am, Omega_m)

Arguments

p	a positive integer specifying the autoregressive order of the model.
d	the number of time series in the system.
all_Am	[d, d, p] array containing the AR coefficient matrices
Omega_m	the dxd error term covariance matrix

Details

Most of the code in this function is adapted from the one provided in the supplementary material of McElroy (2017). Reproduced under GNU General Public License, Copyright (2015) Tucker McElroy.

Value

Returns the (dp x dp) covariance matrix.

References

• McElroy T. 2017. Computation of vector ARMA autocovariances. Statistics and Probability Letters, 124, 92-96.

saviviro/gmvarkit documentation built on March 8, 2024, 4:15 a.m.