march.Mtd-class {march}

A Mixture Transition Distribution (MTD) model.

Description

This class describes a Mixture Transition Distribution (MTD) model, represented by its transition matrix Q, its vector phi of lag parameters and its order. march.Mtd extends march.Model-class class and therefore inherits its slots. march.Mtd extends march.Model-class class and therefore inherits its slots.

Details

The model used here is described into :

• Raftery, A. E. A Model for High-Order Markov Chains. JRSS B 47(1985), pp. 528-539.

• Berchtold, A. Estimation in the mixture transition distribution model. Journal of Time Series Analysis, 22 (4) (2001), pp. 379-397

@section Slots:

Q:

A matrix of numeric representing the transition matrix associated with the current MTD model.

S:

A list of matrices of numeric representing the transition matrices between the covariates and the dependent variable

phi:

A vector of numeric representing the vector of lag parameters.

order:

An integer representing the order of the model.

See Also

march.mtd.construct, march.Model-class.