form_boldA

a positive integer specifying the autoregressive order of the model.

a positive integer specifying the number of mixture components.

the number of time series in the system.

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

all_A

<code>form_boldA</code> creates the "bold A" coefficient matrices related to
 VAR processes.

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics,
simulations, forecasting, and estimation of generalized impulse response function and generalized
forecast error variance decomposition.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.

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form_boldA: Form the $((d p) x (d p))$ "bold A" matrices related to the VAR processes

Description

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References