splitMatrix {VARcpDetectOnline}R Documentation

Split Coefficient Matrix into VAR Lags

Description

Splits a matrix of estimated coefficients into a list of matrices, each corresponding to one lag of the VAR model.

Usage

splitMatrix(M, p)

Arguments

M

A numeric matrix of coefficients.

p

Integer. The order of the VAR model (number of lags).

Value

A list of p matrices, each of dimension (number of variables) x (number of variables).


[Package VARcpDetectOnline version 0.2.0 Index]