vech

<code>vech</code> stacks columns of the given matrix from
 the principal diagonal downwards (including elements on the diagonal) to form a vector.

internal

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t
mixture vector autoregressive models, 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 (2025) <doi:10.1080/07350015.2024.2322090>,
Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.

Savi Virolainen

gmvarkit

Estimate Gaussian and Student's t Mixture Vector Autoregressive
Models

vech function

<dl><dt>A</dt>
<dd>a size \((dxd)\) symmetric matrix to be vectorized parsimoniously.</dd></dl>

Arguments

Warning

Parsimonious vectorization operator for symmetric matrices — vech

<dl>

<dt>A</dt>
<dd>a size \((dxd)\) symmetric matrix to be vectorized parsimoniously.</dd>

</dl>

vech: Parsimonious vectorization operator for symmetric matrices

Description

Usage

Value

Arguments

Warning