Description Usage Arguments Details Value See Also Examples

selectMHMMR implements a model selection procedure to select an optimal MHMMR model with unknown structure.

1 2 | ```
selectMHMMR(X, Y, Kmin = 1, Kmax = 10, pmin = 0, pmax = 4,
criterion = c("BIC", "AIC"), verbose = TRUE)
``` |

`X` |
Numeric vector of length |

`Y` |
Matrix of size |

`Kmin` |
The minimum number of regimes (c components). |

`Kmax` |
The maximum number of regimes (MHMMR components). |

`pmin` |
The minimum order of the polynomial regression. |

`pmax` |
The maximum order of the polynomial regression. |

`criterion` |
The criterion used to select the MHMMR model ("BIC", "AIC"). |

`verbose` |
Optional. A logical value indicating whether or not a summary of the selected model should be displayed. |

selectMHMMR selects the optimal MHMMR model among a set of model
candidates by optimizing a model selection criteria, including the Bayesian
Information Criterion (BIC). This function first fits the different MHMMR
model candidates by varying the number of regimes `K`

from `Kmin`

to `Kmax`

and the order of the polynomial regression `p`

from `pmin`

to `pmax`

. The
model having the highest value of the chosen selection criterion is then
selected.

selectMHMMR returns an object of class ModelMHMMR
representing the selected MHMMR model according to the chosen `criterion`

.

ModelMHMMR

1 2 3 4 5 6 7 8 | ```
data(multivtoydataset)
x <- multivtoydataset$x
y <- multivtoydataset[, c("y1", "y2", "y3")]
selectedmhmmr <- selectMHMMR(X = x, Y = y, Kmin = 2, Kmax = 6,
pmin = 0, pmax = 2)
selectedmhmmr$summary()
``` |

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