geweke_plotTAR: Geweke-Brooks plot for objects of class 'mtar'

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Geweke-Brooks plot for objects of class mtar

Description

This function is a wrapper around geweke.plot() that applies the Geweke-Brooks convergence diagnostic to the MCMC chains obtained from a fitted mtar model.

Usage

geweke_plotTAR(
  x,
  frac1 = 0.1,
  frac2 = 0.5,
  nbins = 20,
  pvalue = 0.05,
  auto.layout = TRUE,
  ask,
  ...
)

Arguments

x	An object of class mtar returned by a call to mtar().
frac1	fraction to use from beginning of chain
frac2	fraction to use from end of chain
nbins	Number of segments
pvalue	p-value used to plot confidence limits for the null hypothesis
auto.layout	If TRUE then, set up own layout for plots, otherwise use existing one
ask	If TRUE then prompt user before displaying each page of plots. Default is dev.interactive().
...	Additional graphical parameters passed to the plotting routines.

See Also

geweke.plot

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<="2015-12-07"}, dist="Student-t",
             ars=ars(nregim=3,p=c(1,1,2)), n.burnin=1000, n.sim=2000,
             n.thin=2)
geweke_plotTAR(fit1)

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2 <- mtar(~ Bedon + LaPlata | Rainfall, data=riverflows, row.names=Date,
             subset={Date<="2009-02-13"}, dist="Laplace",
             ars=ars(nregim=3,p=5), n.burnin=1000, n.sim=2000, n.thin=2)
geweke_plotTAR(fit2)

###### Example 3: Temperature, precipitation, and two river flows in Iceland
data(iceland.rf)
fit3 <- mtar(~ Jokulsa + Vatnsdalsa | Temperature | Precipitation,
             data=iceland.rf, subset={Date<="1974-11-06"}, row.names=Date,
             ars=ars(nregim=2,p=15,q=4,d=2), n.burnin=1000, n.sim=2000,
             n.thin=2, dist="Slash")
geweke_plotTAR(fit3)

###### Example 4: U.S. stock returns
data(US.returns)
fit4 <- mtar(~ CCR | dVIX, data=US.returns, subset={Date<="2025-11-28"},
             row.names=Date, ars=ars(nregim=2,p=3,d=3), n.burnin=1000,
             n.sim=2000, n.thin=2, dist="Student-t")
geweke_plotTAR(fit4)

mtarm documentation built on June 12, 2026, 5:07 p.m.