gmvarkit (version 1.1.1)

get_boldA_eigens: Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients

Description

get_boldA_eigens calculates absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients for each mixture component

Usage

get_boldA_eigens(gmvar)

Arguments

gmvar

object of class 'gmvar' created with fitGMVAR or GMVAR.

Value

Returns a list with \(M\) elements - one for each regime. Each element contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients.

References

• 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.

Examples

# NOT RUN {
params222 <- c(-11.904, 154.684, 1.314, 0.145, 0.094, 1.292, -0.389,
 -0.070, -0.109, -0.281, 0.920, -0.025, 4.839, 11.633, 124.983, 1.248,
  0.077, -0.040, 1.266, -0.272, -0.074, 0.034, -0.313, 5.855, 3.570,
  9.838, 0.740)
mod222 <- GMVAR(d=2, p=2, M=2, params=params222, parametrization="mean")
get_boldA_eigens(mod222)
# }