spectral_radius

This internal helper function computes the spectral radius of a square matrix,
 defined as the maximum modulus of its eigenvalues. The computation is carried
 out using an exact eigenvalue decomposition via <code>RcppArmadillo</code>, ensuring
 numerical accuracy and mathematical correctness.

internal

Penalized and non-penalized maximum likelihood estimation of smooth
transition vector autoregressive models with various types of transition weight
functions, conditional distributions, and identification methods. Constrained
estimation with various types of constraints is available. Residual based
model diagnostics, forecasting, simulations, counterfactual analysis, and
computation of impulse response functions, generalized impulse response functions,
generalized forecast error variance decompositions, as well as historical
decompositions. See
Heather Anderson, Farshid Vahid (1998) <doi:10.1016/S0304-4076(97)00076-6>,
Helmut Lütkepohl, Aleksei Netšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>,
Markku Lanne, Savi Virolainen (2025) <doi:10.1016/j.jedc.2025.105162>,
Savi Virolainen (2026) <doi:10.1080/07474938.2026.2673986>.

Savi Virolainen

sstvars

Toolkit for Reduced Form and Structural Smooth Transition Vector
Autoregressive Models

spectral_radius function

<dl><dt>A</dt>
<dd>an <code>arma::mat</code> representing a square real-valued matrix.</dd></dl>

Arguments

Compute the spectral radius of a square matrix. — spectral_radius

<dl>

<dt>A</dt>
<dd>an <code>arma::mat</code> representing a square real-valued matrix.</dd>

</dl>

spectral_radius: Compute the spectral radius of a square matrix.

Description

Value

Arguments