regime: Extract a variable showing the regime

In tsDyn: Nonlinear Time Series Models with Regime Switching

Extract a variable showing the regime

Description

This function allows to extract the indicator variable specifying the regime in which the process is at time t.

Usage

regime(object, initVal = TRUE, timeAttr = TRUE, series = NULL, ...)

## S3 method for class 'lstar'
regime(object, initVal = TRUE, timeAttr = TRUE, series, discretize = TRUE, ...)

Arguments

object	object of class setar or nlVar
initVal	Logical. Whether the initial NA values should be returned. Default to TRUE.
timeAttr	Logical. Whether the time attributes should be returned. Default to TRUE.
series	Optional. A numeric vector to classify according to the model.
...	additional arguments to regime
discretize	logical (default TRUE) whether the series are discretized to {1,2}, or whether regime probabilities are returned.

Value

Time series of same attributes as input to setar.

Author(s)

Matthieu Stigler

Examples

set<-setar(lynx, m=3)
regime(set)
regime(set, time=FALSE, initVal=FALSE)

plot(regime(set))

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.