Description Usage Arguments Value
View source: R/geneticAlgorithm.R
extract_regime
extracts the specified regime from the GMAR, StMAR, or G-StMAR model parameter vector.
Doesn't extract mixing weight parameter α.
1 2 3 4 5 6 7 8 9 10 | extract_regime(
p,
M,
params,
model = c("GMAR", "StMAR", "G-StMAR"),
restricted = FALSE,
constraints = NULL,
regime,
with_dfs = TRUE
)
|
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
params |
a real valued parameter vector specifying the model.
Symbol φ denotes an AR coefficient, σ^2 a variance, α a mixing weight, and ν a degrees of
freedom parameter. If |
model |
is "GMAR", "StMAR", or "G-StMAR" model considered? In the G-StMAR model, the first |
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.
The symbol φ denotes an AR coefficient. Note that regardless of any constraints, the autoregressive order
is always |
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? |
Returns a numeric vector corresponding to the regime with...
Size (p+2x1) vector (φ_{m,0},φ_{m,1},...,φ_{m,p}, σ_{m}^2).
Size (p+3x1) vector (φ_{m,0},φ_{m,1},...,φ_{m,p}, σ_{m}^2, ν_{m}).
Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.
Parameter vector as described above, but vector φ_{m} replaced with vector ψ_{m} that satisfies φ_{m}=R_{m}ψ_{m}.
Size (2x1) vector (φ_{m,0}, σ_{m}^2).
Size (3x1) vector (φ_{m,0}, σ_{m}^2, ν_{m}).
Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.
Parameter vector as described above.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.