create_Fi_matrix {sstvars}R Documentation

Create Matrix F_i

Description

create_Fi_matrix function generates a (T_obs \times T_obs) matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

Usage

create_Fi_matrix(i, T_obs)

Arguments

i

Integer, the lag for which the matrix is constructed, corresponding to the sub-diagonal filled with 1's.

T_obs

Integer, the number of time periods or observations in the dataset, corresponding to the dimensions of the matrix.

Details

Used in Portmanteau_test. The matrix F_i in Lütkepohl (2005), p.158.

Value

A (T_obs \times T_obs) matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

References


[Package sstvars version 1.1.2 Index]