get_omega_eigens {sstvars} | R Documentation |
Calculate the eigenvalues of the "Omega" error term covariance matrices
Description
get_omega_eigens
calculates the eigenvalues of the "Omega" error
term covariance matrices for each regime
Usage
get_omega_eigens(stvar)
Arguments
stvar |
object of class |
Value
Returns a matrix with d
rows and M
columns - one column for each regime.
The m
th column contains the eigenvalues of the "Omega" error term covariance matrix
of the m
th regime.
References
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
[Package sstvars version 1.2.1 Index]