get_boldA_eigens {sstvars} | R Documentation |
Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients
Description
get_boldA_eigens
calculates absolute values of the eigenvalues of
the "bold A" matrices containing the AR coefficients for each regime.
Usage
get_boldA_eigens(stvar)
Arguments
stvar |
object of class |
Value
Returns a matrix with d*p
rows and M
columns - one column for each regime.
The m
th column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing
the AR coefficients correspinding to regime m
.
References
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
[Package sstvars version 1.2.1 Index]