mixVARfit {mixAR}

Fit mixture vector autoregressive models

Description

Provides EM-estimation of mixture autoregressive models for multivariate time series

Usage

mixVARfit(y, model, fix = FALSE, tol = 10^-6, verbose = FALSE)

Arguments

y

a data matrix.

model

an object of class "MixVAR" with initial values of parameter for EM estimation.

tol

Threshold for convergence criterion.

fix

if TRUE, fix the shift parameters.

verbose

if TRUE print information during the optimisation.

Details

Estimation is done under the assumption of multivariate Gaussian innovations.

Value

An object of class MixVARGaussian with EM estimates of model parameters.

Author(s)

Davide Ravagli

References

Fong PW, Li WK, Yau CW, Wong CS (2007). “On a Mixture Vector Autoregressive Model.” The Canadian Journal of Statistics / La Revue Canadienne de Statistique, 35(1), 135–150. ISSN 03195724, doi:10.1002/cjs.5550350112.

See Also

fit_mixVAR-methods for examples