convert: Converts chains from the Bayesian estimation of a...

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Converts chains from the Bayesian estimation of a multivariate TAR model to a mcmc object.

Description

This function converts the chains obtained from the Bayesian estimation of a multivariate TAR model to a mcmc object to be analyzed with the coda package.

Usage

convert(object)

Arguments

object

an object of the class mtar.

Value

a mcmc-type object.

Examples

###### Example 1: Returns of the closing prices of three financial indexes
data(returns)
fit1 <- mtar(~ COLCAP + BOVESPA | SP500, data=returns, row.names=Date,
             dist="Gaussian", ars=list(p=c(1,1,2)), n.burnin=100,
             n.sim=3000, n.thin=2)
chains1 <- convert(fit1)
summary(chains1$location[[1]])
plot(chains1$location[[1]])

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2 <- mtar(~ Bedon + LaPlata | Rainfall, data=riverflows, row.names=Date,
             dist="Gaussian", ars=list(p=c(5,5,5)), n.burnin=2000,
             n.sim=3000, n.thin=2)
chains2 <- convert(fit2)
summary(chains2$location[[2]])
plot(chains2$location[[2]])

mtarm documentation built on June 8, 2025, 10:20 a.m.