extract_regime: Extract regime from a parameter vector

In uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

Description

extract_regime extracts the specified regime from the GMAR, StMAR, or G-StMAR model parameter vector. Doesn't extract mixing weight parameter α.

Usage

extract_regime(
  p,
  M,
  params,
  model = c("GMAR", "StMAR", "G-StMAR"),
  restricted = FALSE,
  constraints = NULL,
  regime,
  with_dfs = TRUE
)

Arguments

p	a positive integer specifying the autoregressive order of the model.
M	For GMAR and StMAR models: a positive integer specifying the number of mixture components. For G-StMAR models: a size (2x1) integer vector specifying the number of GMAR type components M1 in the first element and StMAR type components M2 in the second element. The total number of mixture components is M=M1+M2.
params	a real valued parameter vector specifying the model. For non-restricted models: Size (M(p+3)+M-M1-1x1) vector θ=(υ_{1},...,υ_{M}, α_{1},...,α_{M-1},ν) where υ_{m}=(φ_{m,0},φ_{m},σ_{m}^2) φ_{m}=(φ_{m,1},...,φ_{m,p}), m=1,...,M ν=(ν_{M1+1},...,ν_{M}) M1 is the number of GMAR type regimes. In the GMAR model, M1=M and the parameter ν dropped. In the StMAR model, M1=0. If the model imposes linear constraints on the autoregressive parameters: Replace the vectors φ_{m} with the vectors ψ_{m} that satisfy φ_{m}=C_{m}ψ_{m} (see the argument constraints). For restricted models: Size (3M+M-M1+p-1x1) vector θ=(φ_{1,0},...,φ_{M,0},φ, σ_{1}^2,...,σ_{M}^2,α_{1},...,α_{M-1},ν), where φ=(φ_{1},...,φ_{p}) contains the AR coefficients, which are common for all regimes. If the model imposes linear constraints on the autoregressive parameters: Replace the vector φ with the vector ψ that satisfies φ=Cψ (see the argument constraints). Symbol φ denotes an AR coefficient, σ^2 a variance, α a mixing weight, and ν a degrees of freedom parameter. If parametrization=="mean", just replace each intercept term φ_{m,0} with the regimewise mean μ_m = φ_{m,0}/(1-∑φ_{i,m}). In the G-StMAR model, the first M1 components are GMAR type and the rest M2 components are StMAR type. Note that in the case M=1, the mixing weight parameters α are dropped, and in the case of StMAR or G-StMAR model, the degrees of freedom parameters ν have to be larger than 2.
model	is "GMAR", "StMAR", or "G-StMAR" model considered? In the G-StMAR model, the first M1 components are GMAR type and the rest M2 components are StMAR type.
restricted	a logical argument stating whether the AR coefficients φ_{m,1},...,φ_{m,p} are restricted to be the same for all regimes.
constraints	specifies linear constraints imposed to each regime's autoregressive parameters separately. For non-restricted models: a list of size (pxq_{m}) constraint matrices C_{m} of full column rank satisfying φ_{m}=C_{m}ψ_{m} for all m=1,...,M, where φ_{m}=(φ_{m,1},...,φ_{m,p}) and ψ_{m}=(ψ_{m,1},...,ψ_{m,q_{m}}). For restricted models: a size (pxq) constraint matrix C of full column rank satisfying φ=Cψ, where φ=(φ_{1},...,φ_{p}) and ψ=ψ_{1},...,ψ_{q}. The symbol φ denotes an AR coefficient. Note that regardless of any constraints, the autoregressive order is always p for all regimes. Ignore or set to NULL if applying linear constraints is not desired.
regime	a positive integer in the interval [1, M] defining which regime should be extracted.
with_dfs	Should the degrees of freedom parameter (if any) be included?

Value

Returns a numeric vector corresponding to the regime with...

For non-restricted models:

For GMAR model:

Size (p+2x1) vector (φ_{m,0},φ_{m,1},...,φ_{m,p}, σ_{m}^2).

For StMAR model:

Size (p+3x1) vector (φ_{m,0},φ_{m,1},...,φ_{m,p}, σ_{m}^2, ν_{m}).

For G-StMAR model:

Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.

With linear constraints:

Parameter vector as described above, but vector φ_{m} replaced with vector ψ_{m} that satisfies φ_{m}=R_{m}ψ_{m}.

For restricted models:

For GMAR model:

Size (2x1) vector (φ_{m,0}, σ_{m}^2).

For StMAR model:

Size (3x1) vector (φ_{m,0}, σ_{m}^2, ν_{m}).

For G-StMAR model:

Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.

With linear constraints:

Parameter vector as described above.

uGMAR documentation built on Jan. 24, 2022, 5:10 p.m.