MSM.sim: Generate Univeraite 2-regime Markov Switching Models

In ConvFuncTimeSeries/test3:

Description

Generate univeraite 2-regime Markov switching models.

Usage

MSM.sim(nob, order = c(1, 1), phi1 = NULL, phi2 = NULL, epsilon = c(0.1,
  0.1), sigma = c(1, 1), cnst = c(0, 0), ini = 500)

Arguments

nob	number of observations.
order	AR order for each regime.
phi1, phi2	AR coefficients.
epsilon	transition probabilities (switching out of regime 1 and 2).
sigma	standard errors for each regime.
cnst	constant term for each regime.
ini	burn-in period.

Value

MSM.sim returns a list with components:

series	a time series following SETAR model.
at	innovation of the time seres.
state	states for the time series.
epsilon	transition probabilities (switching out of regime 1 and 2).
sigma	standard error for each regime.
cnst	constant terms.
order	AR-order for each regime.
phi1, phi2	the AR coefficients for two regimes.

Examples

y=MSM.sim(100,c(1,1),0.7,-0.5,c(0.5,0.6),c(1,1),c(0,0),500)

ConvFuncTimeSeries/test3 documentation built on May 29, 2019, 11:41 a.m.