err: Calculate component specific error terms under MixAR model

In mixAR: Mixture Autoregressive Models

Calculate component specific error terms under MixAR model

Description

Returns a matrix which columns correspond to the error terms. Each column's row will assume value 0 if the observation was not "assigned" to that component.

Usage

err(AR, mu, y, z, pk)

Arguments

AR	a list with autoregressive components.
mu	Component means.
y	a time series (currently a numeric vector).
z	a matrix which columns contain observations "assignment". Hence each row will contain one 1 and (g-1) 0's
pk	autoregressive orders.

Value

e	a matrix which columns correspond to component specific "residuals", which are equal to 0 for observations not assigned to such component.

Note

This function is built for use within sampling functions.

Author(s)

Davide Ravagli

mixAR documentation built on May 3, 2022, 5:08 p.m.