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sstvars (version 1.1.0)

reform_data: Reform data

Description

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

Usage

reform_data(data, p)

Value

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

\(y_{i}=(y_{1i},...,y_{di})\)

\((d \times 1)\).

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

Warning

No argument checks!

Details

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