get_boldA_eigens: Calculate absolute values of the eigenvalues of the "bold A"...

Description Usage Arguments Value References Examples

View source: R/pickParams.R

Description

get_boldA_eigens calculates absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients for each mixture component.

Usage

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Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

Value

Returns a matrix with d*p rows and M columns - one column for each regime. The mth column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime m.

References

@keywords internal

Examples

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# GMVAR(2, 2), d=2 model
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GSMVAR(p=2, M=2, d=2, params=params22)
get_boldA_eigens(mod22)

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