get_ar_roots: Calculate absolute values of the roots of the AR...

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

Calculate absolute values of the roots of the AR characteristic polynomials

Description

get_ar_roots calculates the absolute values of the roots of the AR characteristic polynomials for each mixture component.

Usage

get_ar_roots(gsmar)

Arguments

gsmar

a class 'gsmar' object, typically generated by fitGSMAR or GSMAR.

Value

Returns a list with M elements each containing the absolute values of the roots of the AR characteristic polynomial corresponding to each mixture component.

References

• 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.

Examples

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)

uGMAR documentation built on Aug. 19, 2023, 5:10 p.m.