stmar_to_gstmar {uGMAR} | R Documentation |
Estimate a G-StMAR model based on a StMAR model with large degrees of freedom parameters
Description
stmar_to_gstmar
estimates a G-StMAR model based on a StMAR model with large degree
of freedom parameters.
Usage
stmar_to_gstmar(
gsmar,
maxdf = 100,
estimate,
calc_std_errors,
maxit = 100,
custom_h = NULL
)
Arguments
gsmar |
a class 'gsmar' object, typically generated by |
maxdf |
regimes with degrees of freedom parameter value larger than this will be turned into GMAR type. |
estimate |
set |
calc_std_errors |
set |
maxit |
the maximum number of iterations for the variable metric algorithm. Ignored if |
custom_h |
A numeric vector with same the length as the parameter vector: i:th element of custom_h is the difference
used in central difference approximation for partial differentials of the log-likelihood function for the i:th parameter.
If |
Details
If a StMAR model contains large estimates for the degrees of freedom parameters,
one should consider switching to the corresponding G-StMAR model that lets the corresponding
regimes to be GMAR type. stmar_to_gstmar
does this switch conveniently.
Value
Returns an object of class 'gsmar'
defining the specified GMAR, StMAR, or G-StMAR model. If data is supplied,
the returned object contains (by default) empirical mixing weights, some conditional and unconditional moments, and quantile
residuals. Note that the first p observations are taken as the initial values so the mixing weights, conditional moments, and
quantile residuals start from the p+1:th observation (interpreted as t=1).
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.
See Also
fitGSMAR
, GSMAR
, iterate_more
, get_gradient
,
get_regime_means
, swap_parametrization
, stmar_to_gstmar
Examples
# These are long running example that take approximately 15 seconds to run.
fit42t <- fitGSMAR(data=M10Y1Y, p=4, M=2, model="StMAR", ncalls=1, seeds=6)
fit42t # Overly large degrees of freedom estimate!
# Switch to the appropriate G-StMAR model:
fit42gs <- stmar_to_gstmar(fit42t)
fit42gs