random_covmat {sstvars} | R Documentation |
Create random VAR model error term covariance matrix
Description
random_covmat
generates random VAR model (dxd)
error term covariance matrix \Omega
from (scaled) Wishart distribution.
Usage
random_covmat(d, omega_scale)
Arguments
omega_scale |
a size |
Value
Returns a (d(d+1)/2x1)
vector containing vech-vectorized covariance matrix
\Omega
.