form_boldA {sstvars} | R Documentation |
Form the (dp\times dp)
"bold A" matrices related to the VAR processes
Description
form_boldA
creates the "bold A" (companien form) coefficient matrices related to
VAR processes.
Usage
form_boldA(p, M, d, all_A)
Arguments
p |
the autoregressive order of the model |
M |
the number of regimes |
d |
the number of time series in the system, i.e., the dimension |
all_A |
4D array containing all coefficient matrices |
Details
The "bold A" (companion form) matrix is given, for instance, in Lütkepohl (2005, p. 15).
Value
Returns 3D array containing the (dp \times dp)
"bold A" matrices related to each component VAR-process.
The matrix A_{m}
can be obtained by choosing [, , m]
.
Warning
No argument checks!
References
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
[Package sstvars version 1.2.1 Index]