vech

a size \((dxd)\) symmmetric matrix to be vectorized parsimoniously.

<code>vech</code> stacks colums of the given matrix from main diagonal
 downwards (including the main diagonal) to form a vector.<code>vech</code> stacks colums of the given matrix from
 the principal diagonal downwards (including elements on the diagonal) to form a vector.

Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR)
model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying
general linear constraints to the autoregressive parameters is supported.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Savi Virolainen

gmvarkit

vech: Parsimonious vectorization operator for symmetric matrices.

Description

Usage

Arguments

Value

Warning