phiFromBeta_normalInverseWishart {beyondWhittle}R Documentation

Convert vector parametrization (beta) to matrix-parametrization (phi), the latter as e.g. used in MTS::VAR()$ar

Description

Convert vector parametrization (beta) to matrix-parametrization (phi), the latter as e.g. used in MTS::VAR()$ar

Usage

phiFromBeta_normalInverseWishart(beta, K, p)

Arguments

beta

coefficient vector, of dimension K*d*d

K

positive integer, vector dimensionality

p

nonnegarive integer, VAR order

Value

K times K*p coefficient matrix


[Package beyondWhittle version 1.2.1 Index]