paramList_MSARmdl: Parameter list for Markov-switching autoregressive model

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Parameter list for Markov-switching autoregressive model

Description

This function takes the parameter vector of interest and converts it to a list with specific parameter vectors needed for univariate Markov-switching functions.

Usage

paramList_MSARmdl(theta, p, k, msmu, msvar)

Arguments

theta	Vector of parameters.
p	Number of autoregressive lags.
k	Number of regimes.
msmu	Boolean indicating if the mean switches with regime.
msvar	Boolean indicating if the variance switches with regime.

Value

List with the mean, variance, transition matrix, limiting probabilities, and a vector of state indicators.

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