calcResid_MSARmdl {MSTest} | R Documentation |
Markov-switching autoregressive model residuals
Description
This function computes residuals of a Markov-switching autoregressive model.
Usage
calcResid_MSARmdl(mdl, mu, k)
Arguments
mdl |
List containing relevant parameters. |
mu |
Vector with mean in each regime. |
k |
number of regimes. Must be greater than or equal to |
Value
A (TxM
) matrix of residuals in each regime M
where M=k^(ar+1)
.
[Package MSTest version 0.1.5 Index]