get_omega_eigens function

Calculate the eigenvalues of the "Omega" error term covariance matrices

get_omega_eigens calculates the eigenvalues of the "Omega" error term covariance matrices for each regime

get_omega_eigens(stvar)

Arguments

• stvar: object of class "stvar"

Returns

Returns a matrix with $d$ rows and $M$ columns - one column for each regime. The $m$th column contains the eigenvalues of the "Omega" error term covariance matrix of the $m$th regime.

References

• Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.