initVals_MSARXmdl: Initial values for Markov-switching ARX model
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
initVals_MSARXmdl R Documentation
Initial values for Markov-switching ARX model
Description
This function generates a random parameter vector to be used as initial values for a Markov-switching ARX model.
Usage
initVals_MSARXmdl(mdl, k)
Arguments
mdl
List with parameter values of simple (one-regime) autoregressive model. This includes:
phi: Vector autoregressive coefficients.
mu: Mean of process.
betaZ: vector of coefficients for exogenous regressors
stdev: Standard deviation.
msmu: Boolean indicator. If TRUE, mean is function of markov process. If FALSE, mean is constant across regimes.
msvar: Boolean indicator. If TRUE, standard deviation is function of markov process. If FALSE, standard deviation is constant across regimes.
k
Number of regimes.
Value
Vector of initial parameter values.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| initVals_MSARXmdl | R Documentation |
Initial values for Markov-switching ARX model
Description
This function generates a random parameter vector to be used as initial values for a Markov-switching ARX model.
Usage
initVals_MSARXmdl(mdl, k)
Arguments
mdl |
List with parameter values of simple (one-regime) autoregressive model. This includes:
|
k |
Number of regimes. |
Value
Vector of initial parameter values.
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.
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