State Covariance Matrix for the State Space Model

This function calculates the state covariance matrix for the state space model given by $$ \mathrm{vec} \left( \mathrm{Cov} \left( \boldsymbol{\eta} \right) \right) = \left( \mathbf{I} - \boldsymbol{\beta} \otimes \boldsymbol{\beta} \right)^{-1} \mathrm{vec} \left( \boldsymbol{\Psi} \right) . $$

Usage

SSMCov(beta, psi)

Arguments

beta

Numeric matrix. The transition matrix (\(\boldsymbol{\beta}\)).

psi

Numeric matrix. The covariance matrix of the process noise (\(\boldsymbol{\Psi}\)).

See also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), LinSDECov(), LinSDEMean(), SSMMean(), SimAlphaN(), SimBetaN(), SimCovDiagN(), SimCovN(), SimIotaN(), SimPhiN(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), TestPhi(), TestStability(), TestStationarity()

Author

Ivan Jacob Agaloos Pesigan

Examples

beta <- 0.50 * diag(3)
psi <- 0.001 * diag(3)
SSMCov(beta = beta, psi = psi)
#>             [,1]        [,2]        [,3]
#> [1,] 0.001333333 0.000000000 0.000000000
#> [2,] 0.000000000 0.001333333 0.000000000
#> [3,] 0.000000000 0.000000000 0.001333333