smart_covmat {sstvars} | R Documentation |
Create random VAR model (dxd)
error term covariance matrix \Omega
fairly close to the given positive definite covariance matrix using (scaled)
Wishart distribution
Description
smart_covmat
generates random VAR model (dxd)
error term covariance matrix \Omega
from (scaled) Wishart distribution that is fairly close to the given matrix.
Usage
smart_covmat(d, Omega, accuracy)
Arguments
Omega |
a symmetric positive definite |
accuracy |
a positive real number adjusting how close to the given covariance matrix the returned individual should be. The standard deviation of each diagonal element is...
Wishart distribution is used for reduced form models, but for more details read the source code. |
Value
Returns a (d(d+1)/2x1)
vector containing vech-vectorized covariance matrix
\Omega
.
[Package sstvars version 1.1.2 Index]