Description Usage Arguments Details Value References
View source: R/deprecatedFunctions.R
isStationary
checks the stationarity condition of the specified GMAR, StMAR, or G-StMAR model.
DEPRECATED, USE is_stationary
INSTEAD!
1 2 3 4 5 6 7 8 | isStationary(
p,
M,
params,
model = c("GMAR", "StMAR", "G-StMAR"),
restricted = FALSE,
constraints = NULL
)
|
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 |
DEPRECATED, USE is_stationary
INSTEAD!
This function falsely returns FALSE
for stationary models when the parameter is extremely close
to the boundary of the stationarity region.
Returns TRUE
or FALSE
accordingly.
Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36, 247-266.
Meitz M., Preve D., Saikkonen P. 2021. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, doi: 10.1080/03610926.2021.1916531
Virolainen S. 2021. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, doi: 10.1515/snde-2020-0060
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