get_Bt_Cpp function

Calculate the impact matrix $B_t$ for all $t$ for models with a non-Gaussian conditional distribution with mutually independent shocks.

This internal function takes a cube of matrices (all_Omegas) and a matrix of weights (alpha_mt), and calculates the weighted sums of the matrices in the cube. For each row in alpha_mt, it computes a weighted sum of matrices, and returns the

get_Bt_Cpp(all_Omegas, alpha_mt)

Arguments

• all_Omegas: A cube (3D array) of impact matrices, with each slice being an inveritble square matrix.
• alpha_mt: A matrix of weights, with as many columns as there are slices in all_Omegas.

Returns

An arma::cube value (3D array in R) such that each slice contains the weighted sum of the matrices, i.e, the impact matrix $B_t$ for all $t$.