Description Usage Arguments Details Value Author(s) References See Also Examples
Create an object of class “regime
” given nonstructural and structural parameters for each regime.
1 2 |
orders |
list type object with names (p,q,d), number of lags of Yt, Xt and Zt, respectively. Default p = 1, q = 0, d = 0 |
cs |
matrix type object, the constant term of the regime specification. Default NULL |
Phi |
list type object with names (phi1, ..., phip), each one a matrix (kxk) type object autoregressive specification. Not NULL |
Beta |
list type object with names (beta1, ..., betaq), each one a matrix (kxν) type object covariate parameters specification Default NULL |
Delta |
list type object with names (delta1, ..., deltad), each one a matrix (kx1) type object parameter specification of Threshold process. Default NULL |
Sigma |
a positive-definite symmetric matrix (kxk), specification of errors covariate matrix. Not NULL |
Causes creation of the object class “regime
”. Sigma matrix corresponds to Σ (root of the covariance matrix). When cs is not specified or only matrices are delivered for some lags, the function assumes unspecified 0 (matrix). Rows number in the Phi, Beta and Delta matrix should be the same (k dimension of variables in Yt).
Return list type object of class “regime
” with the values of the arguments
Valeria Bejarano vbejaranos@unal.edu.co & Andrey Rincon adrincont@unal.edu.co
Calderon, S. and Nieto, F. (2017) Bayesian analysis of multivariate threshold autoregress models with missing data. Communications in Statistics - Theory and Methods 46 (1):296–318. doi:10.1080/03610926.2014.990758.
1 2 3 4 5 6 7 8 9 10 11 12 | # Creation of parameters for regimen with orders = c(2,1,1), nu = 1 y k = 2.
## previous objects
orders = list(p = 2,q = 1,d = 1)
Phi = list(phi2 = matrix(c(0.1,0.6,-0.4,0.5),2,2, byrow = TRUE))
Beta = list(beta1 = matrix(c(0.3,-0.4),2, 1))
Delta = list(delta1 = matrix(c(0.6,1),2,1))
Sigma = matrix(c(1,0.6,0.6,1.5),2,2,byrow = TRUE)
cs = matrix(c(1,-1),nrow = 2)
## creacion de la clase regime
Ri = mtaregime(orders = orders,Phi = Phi,Beta = Beta,Delta = Delta,
Sigma = Sigma,cs = cs)
class(Ri)
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