argrid_MSVARmdl: Vector autoregressive moment grid

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Vector autoregressive moment grid

Description

Creates grid of means and covariance matrices consistent with a Markov-switching vector autoregressive model.

Usage

argrid_MSVARmdl(mu, sigma, k, ar, msmu, msvar)

Arguments

mu	a (k x q) matrix of means in each regime (for k regimes and q time series).
sigma	list with k regime specific (q x q) covariance matrices.
k	integer determining the number of regimes.
ar	number of autoregressive lags.
msmu	Boolean indicator. If TRUE mean is subject to change. If FALSE mean is constant across regimes.
msvar	Boolean indicator. If TRUE variance is subject to change. If FALSE variance is constant across regimes.

Value

List with M regime specific (q x k) matrices of means, List with M regime specific covariance matrices, and vector indicating the corresponded 1,..., k regime.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.