arP: Autoregressive transition matrix
In MSTest: Hypothesis Testing for Markov Switching Models
arP 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.
MSTest documentation built on Oct. 31, 2024, 1:06 a.m.
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| arP | 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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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