| TAR.lik {BAYSTAR} | R Documentation |
Log-likelihood function
Description
To calculate the model log-likelihood function.
Usage
TAR.lik(ay, p1, p2, ph.1, ph.2, sig.1, sig.2,
lagd, thres, lagp1, lagp2, constant = 1, thresVar)
Arguments
A list containing:
ay |
The real data set. (input) |
p1 |
Number of AR coefficients in regime one. |
p2 |
Number of AR coefficients in regime two. |
ph.1 |
The vector of AR parameters in regime one. |
ph.2 |
The vector of AR parameters in regime two. |
sig.1 |
The error terms of AR model in the regime one. |
sig.2 |
The error terms of AR model in the regime two. |
lagd |
The delay lag parameter. |
thres |
The threshold parameter. |
lagp1 |
The vector of non-zero autoregressive lags for the lower regime. (regime one); e.g. An AR model with p1=3, it could be non-zero lags 1,3, and 5 would set lagp1<-c(1,3,5). |
lagp2 |
The vector of non-zero autoregressive lags for the upper regime. (regime two) |
constant |
Use the CONSTANT option to fit a model with/without a constant term (1/0). By default CONSTANT=1. |
thresVar |
Exogenous threshold variable. (if missing, the series x is used) |
Author(s)
Cathy W.S. Chen, F.C. Liu