Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable.

Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable.

Usage

id_fevdfd_findq(betas, sigma, target_index, freqs, grid_size, freq_grid = NULL)

Arguments

betas

matrix of coeffecients from VAR

sigma

variance-covariance matrix from VAR

target_index

index of variable to target

freqs

vector of length 2 of min and max frequencies (0:pi)

grid_size

how fine the grid to approximate the frequency domain

freq_grid

Default to NULL. Pass a vector of frequencies in c(0,2pi) to target those specific frequencies. Overides freqs and grid_size arguments.

Value

matrix q