reform_data function

Reform data

reform_data reforms the data into a form that is easier to use when calculating log-likelihood values etc.

reform_data(data, p)

Arguments

• data: a matrix or class 'ts' object with d>1 columns. Each column is taken to represent a univariate time series. Missing values are not supported.
• p: a positive integer specifying the autoregressive order

Returns

Returns the data reformed into a $((n_{obs}-p+1)\times dp)$ matrix. The i:th row of the matrix contains the vector $(y_{i-1},...,y_{i-p})$ $(dp\times 1)$, where $y_{i}=(y_{1i},...,y_{di})$ $(d \times 1)$.

Details

Assumes the observed data is $y_{-p+1},...,y_0,y_1,...,y_{T}$.

Warning

No argument checks!