MTS: Vech – R documentation

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Vech

Half-Stacking Vector of a Symmetric Matrix

Obtain the half-stacking vector of a symmetric matrix

Vech(mtx)

mtx

A symmetric matrix

Stacking a matrix into a vector using data on and below the diagonal.

a vector consisting of stacked elements of a symmetric matrix

Ruey S. Tsay

m1=matrix(c(1:9),3,3)
m2=(m1+t(m1))/2
v1=Vech(m2)

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8