# get_omega_eigens: Calculate the eigenvalues of the "Omega" error term... In saviviro/gmvarkit: Estimate Gaussian or Student's t Mixture Vector Autoregressive Model

## Description

`get_omega_eigens` calculates the eigenvalues of the "Omega" error term covariance matrices for each mixture component.

## Usage

 `1` ```get_omega_eigens(gsmvar) ```

## Arguments

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

## Value

Returns a matrix with d rows and M columns - one column for each regime. The mth column contains the eigenvalues of the "Omega" error term covariance matrix of the mth regime.

## References

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

• Virolainen S. 2020. Structural Gaussian mixture vector autoregressive model. Unpublished working paper, available as arXiv:2007.04713.

• Virolainen S. 2021. Gaussian and Student's t mixture vector autoregressive model. Unpublished working paper, available as arXiv:2109.13648.

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## Examples

 ```1 2 3 4 5 6``` ```# 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_omega_eigens(mod22) ```

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