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gmvarkit (version 2.1.4)

reform_data: Reform data

Description

reform_data reforms the data into a form that is easier to use when calculating log-likelihood values etc.

Usage

reform_data(data, p)

Value

Returns the data reformed into a \(((n_obs-p+1)x(dp))\) matrix. The i:th row of the matrix contains the vector \((y_{i-1}',...,y_{i-p}')\)

\(((dp)x1)\), where

\(y_{i}=(y_{1i},...,y_{di})\)

\((dx1)\).

Arguments

data

a matrix or class 'ts' object with d>1 columns. Each column is taken to represent a univariate time series. NA values are not supported.

p

a positive integer specifying the autoregressive order of the model.

Warning

No argument checks!