mult__inv

Inverts an array of matrices so that: inva[,,i] = inv(a[,,i])

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <http://hdl.handle.net/2078.1/249985> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

mult__inv function

<dl><dt>a</dt>
<dd>matrix array (N x N x T)</dd>
<dt>whichoutput</dt>
<dd>if = 'lobabsdet' computes the log(abs(det(a))) only (text).</dd>
<dt>nargout</dt>
<dd>"nargout == 1" or "nargout == 2"(scalar)</dd></dl>

Arguments

Inverts an array of matrices so that:  inva[,,i] = inv(a[,,i]) — mult__inv

<dl>

<dt>a</dt>
<dd>matrix array (N x N x T)</dd>


<dt>whichoutput</dt>
<dd>if = 'lobabsdet' computes the log(abs(det(a))) only (text).</dd>


<dt>nargout</dt>
<dd>"nargout == 1" or "nargout == 2"(scalar)</dd>

</dl>

mult__inv: Inverts an array of matrices so that: inva[,,i] = inv(a[,,i])

Description

Usage

Value

Arguments

References