form_boldA creates the "bold A" coefficient matrices related to
VAR processes.
form_boldA(p, M, d, all_A)a positive integer specifying the autoregressive order of the model.
a positive integer specifying the number of mixture components.
number of time series in the system.
4D array containing all coefficient matrices \(A_{m,i}\), obtained from pick_allA.
Returns 3D array containing the \(((dp)x(dp))\) "bold A" matrices related to each component VAR-process.
The matrix \(A_{m}\) can be obtained by choosing [, , m]
No argument checks!
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Lutkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.