argrid_MSARmdl {MSTest} | R Documentation |
Autoregressive moment grid
Description
This function creates a grid of mean and variance consistent with a Markov-switching autoregressive model.
Usage
argrid_MSARmdl(mu, sig, k, ar, msmu, msvar)
Arguments
mu |
vector ( |
sig |
vector ( |
k |
integer determining the number of regimes. |
ar |
number of autoregressive lags. |
msmu |
Boolean indicator. If |
msvar |
Boolean indicator. If |
Value
List with (M x ar+1
) matrix of means for each regime M
(where M = k^(ar+1)
) and each time t,... t-ar
, vector with variance for each regime M
, and vector indicating the corresponded 1,..., k
regime.
[Package MSTest version 0.1.5 Index]