gmvarkit (version 1.5.0)

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

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

Value

Returns a matrix with \(d*p\) rows and \(M\) columns - one column for each regime. The \(m\)th column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime \(m\).

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 Unpublished working paper, available as arXiv:2007.04713.

@keywords internal

Examples

# NOT RUN {
# GMVAR(2, 2), d=2 model
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GMVAR(p=2, M=2, d=2, params=params22)
get_boldA_eigens(mod22)
# }