mixVARfit {mixAR} | R Documentation |
Provides EM-estimation of mixture autoregressive models for multivariate time series
mixVARfit(y, model, fix = FALSE, tol = 10^-6, verbose = FALSE)
y |
a data matrix. |
model |
an object of class |
tol |
Threshold for convergence criterion. |
fix |
if TRUE, fix the shift parameters. |
verbose |
if |
Estimation is done under the assumption of multivariate Gaussian innovations.
An object of class MixVARGaussian
with EM estimates of model
parameters.
Davide Ravagli
Fong PW, Li WK, Yau CW, Wong CS (2007). “On a Mixture Vector Autoregressive Model.” The Canadian Journal of Statistics / La Revue Canadienne de Statistique, 35(1), 135–150. ISSN 03195724, doi:10.1002/cjs.5550350112.
fit_mixVAR-methods
for examples