phiFromBeta_normalInverseWishart

Convert vector parametrization (beta) to matrix-parametrization (phi),
the latter as e.g. used in MTS::VAR()$ar

internal

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126>, A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470> and Y. Tang et al (2023) <doi:10.48550/arXiv.2303.11561>. It was supported by DFG grants KI 1443/3-1 and KI 1443/3-2.

Renate Meyer

beyondWhittle

Bayesian Spectral Inference for Time Series

Alexander Meier

Claudia Kirch

Matthew C. Edwards

Yifu Tang

phiFromBeta_normalInverseWishart function

<dl><dt>beta</dt>
<dd>coefficient vector, of dimension K*d*d</dd>
<dt>K</dt>
<dd>positive integer, vector dimensionality</dd>
<dt>p</dt>
<dd>nonnegarive integer, VAR order</dd></dl>

Arguments

Convert vector parametrization (beta) to matrix-parametrization (phi),
the latter as e.g. used in MTS::VAR()$ar — phiFromBeta_normalInverseWishart

<dl>

<dt>beta</dt>
<dd>coefficient vector, of dimension K*d*d</dd>


<dt>K</dt>
<dd>positive integer, vector dimensionality</dd>


<dt>p</dt>
<dd>nonnegarive integer, VAR order</dd>

</dl>

phiFromBeta_normalInverseWishart: Convert vector parametrization (beta) to matrix-parametrization (phi), the latter as e.g. used in MTS::VAR()$ar

Description

Usage

Value

Arguments