arP {MSTest}R Documentation

Autoregressive transition matrix

Description

This function converts a transition matrix to the transition matrix consistent with a Markov-switching autoregressive model.

Usage

arP(P, k, ar)

Arguments

P

original transition matrix.

k

integer determining the number of regimes.

ar

number of autoregressive lags.

Value

transformed transition matrix.


[Package MSTest version 0.1.5 Index]