MMC_tpm: Transition Probability Matrices

In GenMarkov: Multivariate Markov Chains

Transition Probability Matrices

Description

This functions allows to obtain the transition probability matrices for a specific value of x, considering the estimates obtained from mmcx().

Usage

MMC_tpm(s, x, value = max(x), result)

Arguments

s	numerical matrix with categorical data sequences
x	exogeneous variable
value	fixed value of x
result	result from the function mmcx()

Value

The function returns a numerical array with the probability transition matrices for each equation

Author(s)

Carolina Vasconcelos and Bruno Damásio

Examples

data(stockreturns)
s <- cbind(stockreturns$sp500, stockreturns$djia)
x <- stockreturns$spread_1
res <- mmcx(s, x, initial = c(1, 1))
tpm <- MMC_tpm(s, x, value = max(x), result = res)

GenMarkov documentation built on April 3, 2025, 10:51 p.m.