lik_params: Vector of parameters of a MixAR model
In mixAR: Mixture Autoregressive Models

lik_params

R Documentation

Vector of parameters of a MixAR model

Description

Give a numeric vector containing non-redundant parameters of a MixAR model in a form suitable for use by optimisation routines. The methods defined in package mixAR for this generic function are described here.

Usage

lik_params(model)

Arguments

model

a MixAR model.

Details

lik_params gives the parameters of a MixAR model as a numeric vector.

This is a generic function. Parameters common to all MixAR models are arranged as described below. There are no other parameters when the error distributions do not contain parameters of their own. Methods for sub-classes with additional parameters should append them after the common parameters.

If k is the number of components and \pi_i is the probability associated with the ith component, then the parameters are put in a vector as follows:

component probabilities, \pi_1,\ldots,\pi_{k-1}, (note: \pi_{k} is not included)
scales, \sigma_1,\ldots,\sigma_{k},
shifts, \mu_1,\ldots,\mu_{k},
AR coefficients of the 1st component,
AR coefficients of the 2nd component,
...
AR coefficients of the kth component.

Value

A numeric vector containing all parameters except the probability associated with the last component.

Methods

signature(model = "MixAR")
signature(model = "MixARgen")

Note

The probability associated with the kth component is omitted as it is redundant. This makes it possible to try unconstrained optimisation though it is not likely to give useful results since there are other restrictions on the probabilities.