warn_eigens {gmvarkit} | R Documentation |
Warn about near-unit-roots in some regimes
Description
warn_ar_roots
warns if the model contains near-unit-roots in some regimes
Usage
warn_eigens(gsmvar, stat_tol = 0.0015, posdef_tol = 2e-04)
Arguments
gsmvar |
an object of class |
stat_tol |
numerical tolerance for stationarity of the AR parameters: if the "bold A" matrix of any regime
has eigenvalues larger that |
posdef_tol |
numerical tolerance for positive definiteness of the error term covariance matrices: if the error term covariance matrix of any regime has eigenvalues smaller than this, the model is classified as not satisfying positive definiteness assumption. Note that if the tolerance is too small, numerical evaluation of the log-likelihood might fail and cause error. |
Details
Warns if, for some regime, some moduli of "bold A" eigenvalues are larger than 1 - stat_tol
or
some eigenvalue of the error term covariance matrix is smaller than podef_tol
.
Value
Doesn't return anything.