undiff_Sigma function

Transform differenced to non-differenced error term covariance matrix

This function transforms the differenced error term covariance matrix Sigma back to a non-differenced error term covariance matrix.

undiff_Sigma(Sigma, i, checks = TRUE, pos = TRUE, labels = TRUE)

Arguments

• Sigma: An error term covariance matrix of dimension J-1 x J-1 which was differenced with respect to alternative i.

• i: An integer, the alternative number with respect to which Sigma

  was differenced.

• checks: If TRUE the function runs additional input and transformation checks.

• pos: If TRUE the function returns a positive matrix.

• labels: If TRUE the function adds labels to the output matrix.

Returns

A covariance matrix of dimension J x J. If this covariance matrix gets differenced with respect to alternative i, the results is again Sigma.