psigmq {mbreaks} | R Documentation |
Construct diagonal matrix of estimated variance
Description
Function computes a diagonal matrix of dimension m+1 by m+1 with i-th entry is the estimated variance of residuals of segment i
Usage
psigmq(res, b, q, m, nt)
Arguments
res |
big residual vector of the model |
b |
Estimated date of changes |
q |
Number of 'z' regressors |
m |
Number of breaks |
nt |
The size of 'z' regressors |
Value
sigmat ('m'+1)x('m'+1) diagonal matrix with i-th entry equal to estimated variance of regime i
[Package mbreaks version 1.0.1 Index]