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

Description Usage Arguments Value Warning References

View source: R/parameterReforms.R

Description

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

Usage

1
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

@keywords internal


saviviro/gmvarkit documentation built on Oct. 25, 2021, 2:14 a.m.