RDP 2016-11: Identifying Interbank Loans from Payments Data
Equation (3)
[
ε
1
,
t
ε
2
,
t
ε
3
,
t
]
∼
M
V
N
(
[
0
0
0
]
,
diag
(
[
ω
1
,
t
ω
2
,
t
ω
3
,
t
]
)
1
2
[
1
c
1
,
2
c
1
,
3
c
1
,
2
1
c
2
,
3
c
1
,
3
c
2
,
3
1
]
diag
(
[
ω
1
,
t
ω
2
,
t
ω
3
,
t
]
)
1
2
)
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