gen_pc_coef-class {segMGarch}

A method to generate piecewise constant coefficients

Description

An auxilliary method to calculate piecewise constant coefficients for a user-specified vector of coefficients. The change-points are controlled by the changepoints slot in the simMGarch object.

Usage

gen_pc_coef(object, coef)

## S4 method for signature 'simMGarch'
gen_pc_coef(object, coef)

Arguments

object

A simMGarch object.

coef

A vector of coefficients.

References

Cho, Haeran, and Karolos Korkas. "High-dimensional GARCH process segmentation with an application to Value-at-Risk." arXiv preprint arXiv:1706.01155 (2018).

Examples

pw.CCC.obj <- new("simMGarch")
coef.vector <- gen_pc_coef(pw.CCC.obj,c(0.2,0.4))
ts.plot(coef.vector,main="piecewise constant coefficients",ylab="coefficient",xlab="time")