argrid_MSVARmdl {MSTest} | R Documentation |
Vector autoregressive moment grid
Description
Creates grid of means and covariance matrices consistent with a Markov-switching vector autoregressive model.
Usage
argrid_MSVARmdl(mu, sigma, k, ar, msmu, msvar)
Arguments
mu |
a ( |
sigma |
list with |
k |
integer determining the number of regimes. |
ar |
number of autoregressive lags. |
msmu |
Boolean indicator. If |
msvar |
Boolean indicator. If |
Value
List with M regime specific (q x k
) matrices of means, List with M
regime specific covariance matrices, and vector indicating the corresponded 1,..., k
regime.
[Package MSTest version 0.1.5 Index]