MTS: VechM – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

VechM

Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.

Restores the symmetric matrix from the Vech command

VechM(vec)

vec

A vector representing the half-stacking of a symmetric matrix

This command re-construct a symmetric matrix from output of the Vech command

A symmetric matrix

Ruey S. Tsay

Tsay (2014, Appendix A)

v1=c(2,1,3)
m1=VechM(v1)
m1

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