as.mcmc.mtar: Coercion of 'mtar' objects to 'mcmc' objects

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Coercion of mtar objects to mcmc objects

Description

This method converts an object of class mtar into a list of mcmc objects, each corresponding to a Markov chain produced during Bayesian estimation.

Usage

## S3 method for class 'mtar'
as.mcmc(x, ...)

Arguments

x	an object of class mtar obtained from a call to mtar().
...	additional arguments passed to specific coercion methods.

Value

A list of mcmc objects containing the posterior simulation draws generated by the mtar() routine.

See Also

as.mcmc

Examples

###### Example 1: Returns of the closing prices of three financial indexes
data(returns)
fit1 <- mtar(~ COLCAP + BOVESPA | SP500, data=returns, row.names=Date,
             subset={Date<="2016-03-14"}, dist="Student-t",
             ars=ars(nregim=3,p=c(1,1,2)), n.burnin=2000, n.sim=3000,
             n.thin=2)
fit1.mcmc <- coda::as.mcmc(fit1)
summary(fit1.mcmc)

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2 <- mtar(~ Bedon + LaPlata | Rainfall, data=riverflows, row.names=Date,
             subset={Date<="2009-04-04"}, dist="Laplace",
             ars=ars(nregim=3,p=5), n.burnin=2000, n.sim=3000, n.thin=2)
fit2.mcmc <- coda::as.mcmc(fit2)
summary(fit2.mcmc)

###### Example 3: Temperature, precipitation, and two river flows in Iceland
data(iceland.rf)
fit3 <- mtar(~ Jokulsa + Vatnsdalsa | Temperature | Precipitation,
             data=iceland.rf, subset={Date<="1974-12-21"}, row.names=Date,
             ars=ars(nregim=2,p=15,q=4,d=2), n.burnin=2000, n.sim=3000,
             n.thin=2, dist="Slash")
fit3.mcmc <- coda::as.mcmc(fit3)
summary(fit3.mcmc)

mtarm documentation built on Jan. 12, 2026, 1:07 a.m.