mixVARfit: Fit mixture vector autoregressive models

In GeoBosh/mixAR: Mixture Autoregressive Models

Fit mixture vector autoregressive models

Description

Provides EM-estimation of mixture autoregressive models for multivariate time series

Usage

mixVARfit(y, model, fix = FALSE, tol = 10^-6, verbose = FALSE)

Arguments

y	a data matrix.
model	an object of class "MixVAR" with initial values of parameter for EM estimation.
tol	Threshold for convergence criterion.
fix	if TRUE, fix the shift parameters.
verbose	if TRUE print information during the optimisation.

Details

Estimation is done under the assumption of multivariate Gaussian innovations.

Value

An object of class MixVARGaussian with EM estimates of model parameters.

Author(s)

Davide Ravagli

References

\insertRef

10.2307/20445243mixAR

See Also

fit_mixVAR-methods for examples

GeoBosh/mixAR documentation built on May 9, 2022, 7:36 a.m.