mixtureVAR: Estimate mixtureVARs

In jpburgard/mixtureVAR: mixtureVAR

Estimate mixtureVARs

Description

Estimate mixtureVARs

Usage

mixtureVAR(YFormula, LatentFormula = NULL, LatentLag = NULL,
  EXOFormula = NULL, data, P, maxiter = 1000, debug = FALSE,
  eps = 1e-08, nreps = 5, Theta_start = NULL)

Arguments

data	data frame containg the additional variables
P	list with lag length per model for the mixture
maxiter	maximum number of iteration for the iterative fitting procedure
debug	if TRUE some debug output is provided
eps	positive convergence tolerance
nreps	number of inital models to be estimated, for lowering the problem of possible convergence to local maxima
Theta_start	optional starting parameters
Y	timeseries
EXO	list of length length(P) of exogenous timeseries
multinommod	Model formula for latent model.

Value

list

jpburgard/mixtureVAR documentation built on Nov. 1, 2023, 1:46 p.m.