form_boldA: Form the ((dp)x(dp)) "bold A" matrices related to the VAR...

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

Form the ((dp)x(dp)) "bold A" matrices related to the VAR processes

Description

form_boldA creates the "bold A" coefficient matrices related to VAR processes.

Usage

form_boldA(p, M, d, all_A)

Arguments

p	a positive integer specifying the autoregressive order of the model.
M	For GMVAR and StMVAR models: a positive integer specifying the number of mixture components. For G-StMVAR models: a size (2x1) integer vector specifying the number of GMVAR type components M1 in the first element and StMVAR type components M2 in the second element. The total number of mixture components is M=M1+M2.
d	the number of time series in the system.
all_A	4D array containing all coefficient matrices A_{m,i}, obtained from pick_allA.

Value

Returns 3D array containing the ((dp)x(dp)) "bold A" matrices related to each component VAR-process. The matrix A_{m} can be obtained by choosing [, , m].

Warning

No argument checks!

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.

• Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.

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