simuHMM_cpp: Simulate Hidden Markov model with normally distributed errors

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Simulate Hidden Markov model with normally distributed errors

Description

This function simulates a Hidden Markov Model process.

Usage

simuHMM_cpp(mdl_h0, burnin = 100L, exog = FALSE)

Arguments

mdl_h0	List containing the following DGP parameters n: Length of series. k: Number of regimes. mu: A (k x q) vector of means. sigma: A (q x q) covariance matrix. q: Number of series. P: A (k x k) transition matrix (columns must sum to one). eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided. Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables. betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.
burnin	Number of simulated observations to remove from beginning. Default is 100.
exog	bool determining if there are exogenous variables (true) or not (false). Default is false.

Value

List with simulated series and its DGP parameters.

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