make_gamma function

Aggregation of estimated error

Computing the aggregated estimated error at some index for constructing asymptotic normality

make_gamma(E, type = "mu", ind = 1)

Arguments

• E: A matrix representing the estimated error matrix at some time t of dim (p,q).
• type: Character input, choice from one of 'mu', 'alpha' and 'beta'. Default is 'mu'.
• ind: integer denoting the index of interest, only used when type is 'alpha' or 'beta'. Default is 1.

Returns

A numeric number