VHARtoVMA

Convert VHAR process to infinite vector MA process

Tools to model and forecast multivariate time series
including Bayesian Vector heterogeneous autoregressive (VHAR) model
by Kim & Baek (2023) (<doi:10.1080/00949655.2023.2281644>).
'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.

Young Geun Kim

bvhar

Bayesian Vector Heterogeneous Autoregressive Modeling

Changryong Baek

VHARtoVMA function

<dl><dt>object</dt>
<dd>A <code>vharlse</code> object</dd>
<dt>lag_max</dt>
<dd>Maximum lag for VMA</dd></dl>

Arguments

Convert VHAR to VMA(infinite) — VHARtoVMA

<dl>

<dt>object</dt>
<dd>A <code>vharlse</code> object</dd>


<dt>lag_max</dt>
<dd>Maximum lag for VMA</dd>

</dl>

VHARtoVMA: Convert VHAR to VMA(infinite)

Description

Usage

Value

Arguments

Details

References