iterate_more: Maximum likelihood estimation of GMAR, StMAR, or G-StMAR...

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

Maximum likelihood estimation of GMAR, StMAR, or G-StMAR model with preliminary estimates

Description

iterate_more uses a variable metric algorithm to finalize maximum likelihood estimation of a GMAR, StMAR or G-StMAR model (object of class 'gsmar') which already has preliminary estimates.

Usage

iterate_more(gsmar, maxit = 100, custom_h = NULL, calc_std_errors = TRUE)

Arguments

gsmar	a class 'gsmar' object, typically generated by fitGSMAR or GSMAR.
maxit	the maximum number of iterations for the variable metric algorithm.
custom_h	A numeric vector with same the length as the parameter vector: i:th element of custom_h is the difference used in central difference approximation for partial differentials of the log-likelihood function for the i:th parameter. If NULL (default), then the difference used for differentiating overly large degrees of freedom parameters is adjusted to avoid numerical problems, and the difference is 6e-6 for the other parameters.
calc_std_errors	should approximate standard errors be calculated?

Details

The main purpose of iterate_more is to provide a simple and convenient tool to finalize the estimation when the maximum number of iterations is reached when estimating a model with the main estimation function fitGSMAR. iterate_more is essentially a wrapper for the functions optim from the package stats and GSMAR from the package uGMAR.

Value

Returns an object of class 'gsmar' defining the estimated model.

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.

See Also

fitGSMAR, GSMAR, stmar_to_gstmar, profile_logliks, optim

Examples

# Estimate GMAR model with on only 1 iteration in variable metric algorithm
fit12 <- fitGSMAR(simudata, p=1, M=2, maxit=1, ncalls=1, seeds=1)
fit12

# Iterate more since iteration limit was reached
fit12 <- iterate_more(fit12)
fit12

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