VAR_pcovmat {sstvars} | R Documentation |
VAR_pcovmat
calculate the dp-dimensional covariance matrix of p consecutive
observations of a VAR process with the algorithm proposed by McElroy (2017).
VAR_pcovmat(p, d, all_Am, Omega_m)
p |
a positive integer specifying the autoregressive order |
d |
the number of time series in the system, i.e., the dimension |
all_Am |
|
Omega_m |
the |
Most of the code in this function is adapted from the one provided in the supplementary material of McElroy (2017). Reproduced under GNU General Public License, Copyright (2015) Tucker McElroy.
Returns the (dp \times dp)
covariance matrix.
McElroy T. 2017. Computation of vector ARMA autocovariances. Statistics and Probability Letters, 124, 92-96.