VAR_pcovmat {gmvarkit} | R Documentation |
Calculate the dp-dimensional covariance matrix of p consecutive observations of a VAR process
Description
VAR_pcovmat
calculate the dp-dimensional covariance matrix of p consecutive
observations of a VAR process with the algorithm proposed by McElroy (2017).
Usage
VAR_pcovmat(p, d, all_Am, Omega_m)
Arguments
p |
a positive integer specifying the autoregressive order of the model. |
d |
the number of time series in the system. |
all_Am |
|
Omega_m |
the dxd error term covariance matrix |
Details
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.
Value
Returns the (dp x dp) covariance matrix.
References
McElroy T. 2017. Computation of vector ARMA autocovariances. Statistics and Probability Letters, 124, 92-96.
[Package gmvarkit version 2.1.3 Index]