phiFromBeta_normalInverseWishart {beyondWhittle} | R Documentation |
Convert vector parametrization (beta) to matrix-parametrization (phi), the latter as e.g. used in MTS::VAR()$ar
phiFromBeta_normalInverseWishart(beta, K, p)
beta |
coefficient vector, of dimension K*d*d |
K |
positive integer, vector dimensionality |
p |
nonnegarive integer, VAR order |
K times K*p coefficient matrix