dmixnorm.ts: The conditional density for AR-type mixture of normals

In feng-li/flutils: Feng Li's utility functions

Description

For more information see dmixnorm()

Usage

dmixnorm.ts(y, means.ar.par.list, sigmas.list, weights, log = FALSE)

Arguments

y	An 'n'-length vector. The time series.
means.ar.par.list	A 'k'-length list. Each element in the list consists the coefficients in the AR process.
sigmas.list	A 'k'-length lilst.
weights	A 'k'-length vector. The weight in each component.
log	Logical; If TRUE, the log density is returned.

Examples

n = 1000
means.ar.par.list = list(c(0, 0.8), c(0, 0.6, 0.3))
require("mvtnorm")
require("fGarch")
sigmas.spec <- list(garchSpec(model = list(alpha = c(0.05, 0.06)), cond.dist = "norm"),
                    garchSpec(model = list(alpha = c(0.05, 0.05)), cond.dist = "norm"))
sigmas.list <- lapply(lapply(sigmas.spec, garchSim, extended = TRUE, n = n),
                      function(x) x$sigma)
weights <- c(0.8, 0.2)
y = rmixnorm.ts(n = n, means.ar.par.list = means.ar.par.list, sigmas.list = sigmas.list,
                weights = weights)
out = dmixnorm.ts(y = y, means.ar.par.list = means.ar.par.list,
                  sigmas.list = sigmas.list, weights = weights, log = TRUE)

feng-li/flutils documentation built on Oct. 1, 2020, 9:09 p.m.