coef {VLMCX}

Coefficients from a Variable Length Markov Chain with Exogenous Covariates

Description

Extracts the estimated coefficients from a VLMCX object for a specific context (sequence of states in the past used to predict the next state/symbol of the chain).

Usage

coef(fit, context)

Arguments

fit

a VLMCX object.

context

the context whose coefficients are desired.

Value

an object with two items:

alpha

a vector with coefficients corresponding to the intercept for the transition into the states in the state space of y.

beta

a 3 dimensional-array of estimated coefficients corresponding to [steps in the past, number of covariate, symbol (in the state space) to transition into].

Author(s)

Adriano Zanin Zambom <[e-mail]>

Examples

set.seed(1)
n = 1000
d = 2

X = cbind(rnorm(n), rnorm(n))

y = rbinom(n,1,.5)
fit = maximum.context(y, X)

coef(fit, c(0,0,1,0)) 
## context in the order: y_{t-1} = 0, y_{t-2} = 0, y_{t-3} = 1, y_{t-4} = 0