Sigma

#compute the covariance matrix of errors as in Bai, Lumsdaine, and Stock (1998)

Flexible implementation of a structural change point detection algorithm for multivariate time series.
It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system.
Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.

Loic Marechal

multibreakeR

Tests for a Structural Change in Multivariate Time Series

Sigma function

<dl><dt>mat.z</dt>
<dd>A matrix of breaking and non breaking time series</dd>
<dt>mat.y.ex</dt>
<dd>A vectorized matrix of time series</dd>
<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>
<dt>n.eq</dt>
<dd>The number of equations in the VAR system</dd></dl>

Arguments

Sigma — Sigma

<dl>

<dt>mat.z</dt>
<dd>A matrix of breaking and non breaking time series</dd>


<dt>mat.y.ex</dt>
<dd>A vectorized matrix of time series</dd>


<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>


<dt>n.eq</dt>
<dd>The number of equations in the VAR system</dd>

</dl>

Sigma: Sigma

Description

Usage

Value

Arguments