regime {tsDyn}

Extract a variable showing the regime

Description

This function allows to extract the indicator variable specifying the regime in which the process is at time t.

Usage

regime(object, initVal = TRUE, timeAttr = TRUE, series = NULL, ...)

## S3 method for class 'lstar'
regime(object, initVal = TRUE, timeAttr = TRUE, series, discretize = TRUE, ...)

Arguments

object

object of class setar or nlVar

initVal

Logical. Whether the NA initial values should be returned. Default to TRUE.

timeAttr

Logical. Whether the time attributes should be returned. Default to TRUE.

series

Optional. A numeric vector to classify according to the model.

...

additional arguments to regime

discretize

logical (default TRUE) whether the series are discretized to {1,2}, or whether regime probabilities are returned.

Value

Time series of same attributes as input to setar.

Author(s)

Matthieu Stigler

Examples

set<-setar(lynx, m=3)
regime(set)
regime(set, time=FALSE, initVal=FALSE)

plot(regime(set))