gmvarkit (version 1.4.1)

form_boldA: Form the \(((dp)x(dp))\) "bold A" matrices related to the VAR processes

Description

form_boldA creates the "bold A" coefficient matrices related to VAR processes.

Usage

form_boldA(p, M, d, all_A)

Arguments

p

a positive integer specifying the autoregressive order of the model.

M

a positive integer specifying the number of mixture components.

d

the number of time series in the system.

all_A

4D array containing all coefficient matrices \(A_{m,i}\), obtained from pick_allA.

Value

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].

Warning

No argument checks!

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Virolainen S. 2020. Structural Gaussian mixture vector autoregressive model. Unpublished working paper, available as arXiv:2007.04713.