get_regime_autocovs: Calculate regime specific autocovariances *gamma*_{m,p}

Description Usage Arguments Value References See Also Examples

View source: R/uncondMoments.R

Description

get_regime_autocovs calculates the first p regime specific autocovariances γ_{m,p} for the given GMAR, StMAR, or G-StMAR model.

Usage

1

Arguments

gsmar

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

Value

Returns a size (pxM) matrix containing the first p autocovariances of the components processes: i:th autocovariance in the i:th row and m:th component process in the m:th column.

References

See Also

Other moment functions: cond_moments(), get_regime_means(), get_regime_vars(), uncond_moments()

Examples

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# GMAR model
params13 <- c(1.4, 0.88, 0.26, 2.46, 0.82, 0.74, 5.0, 0.68, 5.2, 0.72, 0.2)
gmar13 <- GSMAR(p=1, M=3, params=params13, model="GMAR")
get_regime_autocovs(gmar13)

# StMAR model
params12t <- c(1.38, 0.88, 0.27, 3.8, 0.74, 3.15, 0.8, 100, 3.6)
stmar12t <- GSMAR(p=1, M=2, params=params12t, model="StMAR")
get_regime_autocovs(stmar12t)

# G-StMAR model (similar to the StMAR model above)
params12gs <- c(1.38, 0.88, 0.27, 3.8, 0.74, 3.15, 0.8, 3.6)
gstmar12 <- GSMAR(p=1, M=c(1, 1), params=params12gs, model="G-StMAR")
get_regime_autocovs(gstmar12)

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