gmvarkit (version 1.4.2)

get_omega_eigens: Calculate the eigenvalues of the "Omega" error term covariance matrices

Description

get_omega_eigens calculates the eigenvalues of the "Omega" error term covariance matrices for each mixture component.

Usage

get_omega_eigens(gmvar)

Arguments

gmvar

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

Value

Returns a matrix with \(d\) rows and \(M\) columns - one column for each regime. The \(m\)th column contains the eigenvalues of the "Omega" error term covariance matrix of the \(m\)th regime.

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 Unpublished working paper, available as arXiv:2007.04713.

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_omega_eigens(mod222)
# }