warn_eigens: Warn about near-unit-roots in some regimes

In saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Warn about near-unit-roots in some regimes

Description

warn_ar_roots warns if the model contains near-unit-roots in some regimes

Usage

warn_eigens(gsmvar, stat_tol = 0.0015, posdef_tol = 2e-04)

Arguments

gsmvar	an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.
stat_tol	numerical tolerance for stationarity of the AR parameters: if the "bold A" matrix of any regime has eigenvalues larger that 1 - stat_tol the model is classified as non-stationary. Note that if the tolerance is too small, numerical evaluation of the log-likelihood might fail and cause error.
posdef_tol	numerical tolerance for positive definiteness of the error term covariance matrices: if the error term covariance matrix of any regime has eigenvalues smaller than this, the model is classified as not satisfying positive definiteness assumption. Note that if the tolerance is too small, numerical evaluation of the log-likelihood might fail and cause error.

Details

Warns if, for some regime, some moduli of "bold A" eigenvalues are larger than 1 - stat_tol or some eigenvalue of the error term covariance matrix is smaller than podef_tol.

Value

Doesn't return anything.

saviviro/gmvarkit documentation built on March 8, 2024, 4:15 a.m.