| get_ar_roots {uGMAR} | R Documentation |
Calculate absolute values of the roots of the AR characteristic polynomials
Description
get_ar_roots calculates the absolute values of the roots of the AR
characteristic polynomials for each mixture component.
Usage
get_ar_roots(gsmar)
Arguments
gsmar |
a class 'gsmar' object, typically generated by |
Value
Returns a list with M elements each containing the absolute values of the roots
of the AR characteristic polynomial corresponding to each mixture component.
References
Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36(2), 247-266.
Meitz M., Preve D., Saikkonen P. 2023. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, 52(2), 499-515.
Virolainen S. 2022. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, 26(4) 559-580.
Examples
params12 <- c(1.70, 0.85, 0.30, 4.12, 0.73, 1.98, 0.63)
gmar12 <- GSMAR(data=simudata, p=1, M=2, params=params12, model="GMAR")
get_ar_roots(gmar12)