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arxiv: 1309.6290 · v3 · pith:W6AER6NG · submitted 2013-09-23 · cs.NA · cs.NA· stat.CO

Coefficient Matrices Computation of Structural Vector Autoregressive Model

Aravindh Krishnamoorthy This is my paper

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classification cs.NA cs.NAstat.CO
keywords autoregressivecoefficientmatricesmethodmodelstructuralvectorcholesky
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In this paper we present the Large Inverse Cholesky (LIC) method, an efficient method for computing the coefficient matrices of a Structural Vector Autoregressive (SVAR) model.

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