get_boldA_eigens {gmvarkit}R Documentation

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(gsmvar)

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

Value

Returns a matrix with dpd*p rows and MM columns - one column for each regime. The mmth column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime mm.

References

@keywords internal

Examples

# 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 <- GSMVAR(p=2, M=2, d=2, params=params22)
get_boldA_eigens(mod22)

[Package gmvarkit version 2.1.2 Index]