Description Usage Arguments Value Examples
Generates two-regime multivariate vector auto-regressive models.
1 2 |
nob |
number of observations. |
thr |
threshold value. |
phi1 |
VAR coefficient matrix of regime 1. |
phi2 |
VAR coefficient matrix of regime 2. |
sigma1 |
innovational covariance matrix of regime 1. |
sigma2 |
innovational covariance matrix of regime 2. |
c1 |
constant vector of regime 1. |
c2 |
constatn vector of regime 2. |
delay |
two elements (i,d) with "i" being the component index and "d" the delay for threshold variable. |
ini |
burn-in period. |
mTAR.sim returns a list with following components:
series |
a time series following the two-regime multivariate VAR model. |
at |
innovation of the time series. |
threshold |
threshold value. |
delay |
two elements (i,d) with "i" being the component index and "d" the delay for threshold variable. |
n1 |
number of observations in regime 1. |
n2 |
number of observations in regime 2. |
1 2 3 4 5 6 7 8 |
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