mtaregime {BMTAR}

Object class “regime” creation

Description

Create an object of class “regime” given nonstructural and structural parameters for each regime.

Usage

mtaregime(orders = list(p = 1,q = 0,d = 0), cs = NULL, Phi,
Beta = NULL, Delta = NULL, Sigma)

Arguments

orders

list type object with names (p,q,d), number of lags of Yt, Xt and Zt, respectively. Default p = 1, q = 0, d = 0

cs

matrix type object, the constant term of the regime specification. Default NULL

Phi

list type object with names (phi1, ..., phip), each one a matrix (kxk) type object autoregressive specification. Not NULL

Beta

list type object with names (beta1, ..., betaq), each one a matrix (kx\nu) type object covariate parameters specification Default NULL

Delta

list type object with names (delta1, ..., deltad), each one a matrix (kx1) type object parameter specification of Threshold process. Default NULL

Sigma

a positive-definite symmetric matrix (kxk), specification of errors covariate matrix. Not NULL

Details

Causes creation of the object class “regime”. Sigma matrix corresponds to \Sigma (root of the covariance matrix). When cs is not specified or only matrices are delivered for some lags, the function assumes unspecified 0 (matrix). Rows number in the Phi, Beta and Delta matrix should be the same (k dimension of variables in Yt).

Value

Return list type object of class “regime” with the values of the arguments

Author(s)

Valeria Bejarano [e-mail] & Andrey Rincon [e-mail]

References

Calderon, S. and Nieto, F. (2017) Bayesian analysis of multivariate threshold autoregress models with missing data. Communications in Statistics - Theory and Methods 46 (1):296–318. doi:10.1080/03610926.2014.990758.

See Also

mtarsim

Examples

# Creation of parameters for regimen with orders = c(2,1,1), nu = 1 y k = 2.
## previous objects
orders = list(p = 2,q = 1,d = 1)
Phi = list(phi2 = matrix(c(0.1,0.6,-0.4,0.5),2,2, byrow = TRUE))
Beta = list(beta1 = matrix(c(0.3,-0.4),2, 1))
Delta = list(delta1 = matrix(c(0.6,1),2,1))
Sigma = matrix(c(1,0.6,0.6,1.5),2,2,byrow = TRUE)
cs = matrix(c(1,-1),nrow = 2)
## creacion de la clase regime
Ri = mtaregime(orders = orders,Phi = Phi,Beta = Beta,Delta = Delta,
Sigma = Sigma,cs = cs)
class(Ri)