dynamichazard (version 0.6.1)

get_Q_0: Compute Time-Invariant Covariance Matrix

Description

Computes the invariant covariance matrix for a vector autoregression model.

Usage

get_Q_0(Qmat, Fmat)

Arguments

Qmat

covariance matrix in transition density.

Fmat

coefficients in transition density.

Value

The invariant covariance matrix.