Umatch {gogarch}R Documentation

Matching of Orthogonal Matrices for Cayley transforms

Description

This function matches an orthogonal matrix to the importance of the columns of the matrix to which it should be matched.

Usage

Umatch(from, to)

Arguments

from Matrix: orthogonal
to Matrix: orthogonal

Value

mat Matched matrix.

Author(s)

Bernhard Pfaff

References

Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.

Liebeck, H. and Osborne, A. (1991), The Generation of All Rational Orthogonal Matrices, The American Mathematical Monthly, 98 (2) (Feb. 1991), 131 – 133.

See Also

gogarch


[Package gogarch version 0.6-8 Index]