View source: R/parameterReforms.R
sort_and_standardize_alphas | R Documentation |
sort_and_standardize_alphas
sorts mixing weight parameters in a decreasing
order and standardizes them to sum to one. For G-StMVAR models, the mixing weight parameters are sorted
to a decreasing order for GMVAR and StMVAR type regimes separately. Does not sort if AR constraints,
lambda constraints, or same means are employed.
sort_and_standardize_alphas(
alphas,
M,
model = c("GMVAR", "StMVAR", "G-StMVAR"),
constraints = NULL,
same_means = NULL,
weight_constraints = NULL,
structural_pars = NULL
)
alphas |
mixing weights parameters alphas, INCLUDING the one for the M:th regime (that is not parametrized in the model). Don't need to be standardized to sum to one. |
M |
|
model |
is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first |
constraints |
a size |
same_means |
Restrict the mean parameters of some regimes to be the same? Provide a list of numeric vectors
such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if
|
weight_constraints |
a numeric vector of length |
structural_pars |
If
See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is |
Returns the given alphas in a (M x 1) vector sorted in decreasing order and their sum standardized to one.
If AR constraints, lambda constraints, or same means are employed, does not sort but standardizes the alphas
to sum to one. If weight_constraints
are used, gives an error.
No argument checks!
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