tsregime {BMTAR} R Documentation

## Creation of class “tsregime” for some data

### Description

The function tsregime is used to create time-series-regime objects.

### Usage

tsregime(Yt, Zt = NULL, Xt = NULL, r = NULL)


### Arguments

 Yt matrix (Nxk) type object, observed process (admit NA values). Not NULL Zt matrix (Nx1) type object, threshold process (admit NA values). Default NULL Xt matrix (Nx\nu) type object, covariate process (admit NA values). Default NULL r numeric type, threshold value (within the range of Z_t) if known. Default NULL

### Details

Create a class “tsregime” object composed of: Y_t and X_t stochastics processes such that Y_t=[Y_{1t},...,Y_{kt}]', X_t=[X_{1t},...,X_{\nu t}]' and Z_t is a univariate process. Where Y_t follows a MTAR model with threshold variable Z_t

 Y_t= \Phi_{0}^(j)+\sum_{i=1}^{p_j}\Phi_{i}^{(j)} Y_{t-i}+\sum_{i=1}^{q_j} \beta_{i}^{(j)} X_{t-i} + \sum_{i=1}^{d_j} \delta_{i}^{(j)} Z_{t-i}+ \Sigma_{(j)}^{1/2} \epsilon_{t} 

if r_{j-1}< Z_t \leq r_{j}

Missing data is allowed for processes Y_t, X_t and Z_t (can then be estimated with “mtarmissing” function). In the case of known r, the output returns the percentages of observations found in each regimen.

### Value

Return a list type object of class “tsregime”:

 Yt stochastic output process Xt stochastic covariate process (if enter) Zt stochastic threshold process (if enter) N number of observations k number of variables

If r known:

 r threshold value Ind numeric type, number of the regime each observation belong Summary_r data.frame type, number and proportion of observations in each regime

### Author(s)

Valeria Bejarano vbejaranos@unal.edu.co & Andrey Rincon adrincont@unal.edu.co

### 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.

mtaregime, mtarinipars, mtarsim

### Examples

data("datasim")
yt = datasim$Sim Yt = yt$Yt
Zt = yt\$Zt
(datos = tsregime(Yt,Zt))
autoplot.tsregime(datos,1)
autoplot.tsregime(datos,2)


[Package BMTAR version 0.1.1 Index]