initVals_MSVARmdl: Initial values for Markov-switching vector autoregressive...

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initVals_MSVARmdlR Documentation

Initial values for Markov-switching vector autoregressive model

Description

This function generates a random parameter vector to be used as initial values for a Markov-switching vector autoregressive model.

Usage

initVals_MSVARmdl(mdl, k)

Arguments

mdl

List with parameter values of simple (one-regime) vector autoregressive model. This includes:

  • phi: Matrix autoregressive coefficients.

  • mu: Vector of means.

  • sigma: Covariance matrix.

  • msmu: Boolean indicator. If TRUE, mean is function of markov process. If FALSE, mean is constant across regimes.

  • msvar: Boolean indicator. If TRUE, standard deviation is function of markov process. If FALSE, standard deviation is constant across regimes.

k

Number of regimes.

Value

Vector of initial parameter values.


MSTest documentation built on Oct. 31, 2024, 1:06 a.m.