plambda {mbreaks}

Construct diagonal matrix according to break date

Description

Function constructs a diagonal matrix of dimension (m+1) by (m+1) matrix with i-th entry \frac{T_{i} - T_{i-1}}{ T}

Usage

plambda(b, m, bigT)

Arguments

b

Estimated date of changes

m

Number of breaks

bigT

The sample size T

Value

lambda (m+1) by (m+1) diagonal matrix with i-th entry \frac{T_{i} - T_{i-1}}{ T}