arP: Autoregressive transition matrix
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
arP R Documentation
Autoregressive transition matrix
Description
This function converts a transition matrix to the transition matrix consistent with a Markov-switching autoregressive model.
Usage
arP(P, k, ar)
Arguments
P
original transition matrix.
k
integer determining the number of regimes.
ar
number of autoregressive lags.
Value
transformed transition matrix.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| arP | R Documentation |
Autoregressive transition matrix
Description
This function converts a transition matrix to the transition matrix consistent with a Markov-switching autoregressive model.
Usage
arP(P, k, ar)
Arguments
P |
original transition matrix. |
k |
integer determining the number of regimes. |
ar |
number of autoregressive lags. |
Value
transformed transition matrix.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.