mixingWeights {uGMAR} | R Documentation |
DEPRECATED, USE mixing_weights
INSTEAD! Calculate mixing weights of GMAR, StMAR or G-StMAR model
Description
mixingWeights
calculates the mixing weights of the specified GMAR, StMAR or G-StMAR model
and returns them as a matrix. DEPRECATED, USE mixing_weights
INSTEAD!
Usage
mixingWeights(
data,
p,
M,
params,
model = c("GMAR", "StMAR", "G-StMAR"),
restricted = FALSE,
constraints = NULL,
parametrization = c("intercept", "mean")
)
Arguments
data |
a numeric vector or class |
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
params |
a real valued parameter vector specifying the model.
Symbol |
model |
is "GMAR", "StMAR", or "G-StMAR" model considered? In the G-StMAR model, the first |
restricted |
a logical argument stating whether the AR coefficients |
constraints |
specifies linear constraints imposed to each regime's autoregressive parameters separately.
The symbol |
parametrization |
is the model parametrized with the "intercepts" |
Details
DEPRECATED, USE mixing_weights
INSTEAD!
Value
- If
to_return=="mw"
: a size ((n_obs-p)xM) matrix containing the mixing weights: for m:th component in m:th column.
- If
to_return=="mw_tplus1"
: a size ((n_obs-p+1)xM) matrix containing the mixing weights: for m:th component in m:th column. The last row is for
\alpha_{m,T+1}
.
References
Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11, 63-71.
Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15, 358-393.
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.