View source: R/pickAndChangeParams.R
get_ar_roots | R Documentation |
get_ar_roots
calculates the absolute values of the roots of the AR
characteristic polynomials for each mixture component.
get_ar_roots(gsmar)
gsmar |
a class 'gsmar' object, typically generated by |
Returns a list with M
elements each containing the absolute values of the roots
of the AR characteristic polynomial corresponding to each mixture component.
Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36(2), 247-266.
Meitz M., Preve D., Saikkonen P. 2023. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, 52(2), 499-515.
Virolainen S. 2022. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, 26(4) 559-580.
params12 <- c(1.70, 0.85, 0.30, 4.12, 0.73, 1.98, 0.63)
gmar12 <- GSMAR(data=simudata, p=1, M=2, params=params12, model="GMAR")
get_ar_roots(gmar12)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.