get_Q_0

Compute Time-Invariant Covariance Matrix

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.

Aliases
  • get_Q_0
Examples
# NOT RUN {
Fmat <- matrix(c(.8, .4, .1, .5), 2, 2)
Qmat <- matrix(c( 1, .5, .5,  2), 2)

x1 <- get_Q_0(Qmat = Qmat, Fmat = Fmat)
x2 <- Qmat
for(i in 1:101)
  x2 <- tcrossprod(Fmat %*% x2, Fmat) + Qmat
stopifnot(isTRUE(all.equal(x1, x2)))


# }
Documentation reproduced from package dynamichazard, version 0.6.5, License: GPL-2

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