get_mu_yt_Cpp: Calculate the conditional means of the process

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Calculate the conditional means of the process

Description

Calculates the conditional means \mu_{y,t} of the process

Usage

get_mu_yt_Cpp(obs, all_phi0, all_A, alpha_mt)

Arguments

obs	a (T \times dp) matrix such that the i:th row contains the vector (y_{i-1},...,y_{i-p}) ((dp)x1), where y_{i}=(y_{1i},...,y_{di}) (dx1). That is, the initial values are included but the last observations not.
all_phi0	a (d \times M) matrix such that the m:th column contains the intercept parameters of the m:th regime.
all_A	a (d \times dp \times M) array such that the slice [, , m] contains the AR matrices of the m:th regime cbinded together: [A_{m,1}:...:A_{m,p}].
alpha_mt	a (T \times M) matrix such that [t, m] contains the time t transition weights of the m:th regime.

Value

a (T \times d) matrix such that the i:th row contains the conditional mean of the process.

sstvars documentation built on April 11, 2025, 5:47 p.m.