get_mu_yt_Cpp {sstvars} | R Documentation |
Calculate the conditional means of the process
Description
Calculates the conditional means \mu_{y,t}
of the process
Usage
get_mu_yt_Cpp(obs, all_phi0, all_A, alpha_mt)
Arguments
obs |
a (T \times dp) matrix such that the i:th row contains the vector
(y_{i-1},...,y_{i-p}) ((dp)x1) , where y_{i}=(y_{1i},...,y_{di})
(dx1) . That is, the initial values are included but the last observations not.
|
all_phi0 |
a (d \times M) matrix such that the m:th column contains the
intercept parameters of the m:th regime.
|
all_A |
a (d \times dp \times M) array such that the slice [, , m]
contains the AR matrices of the m:th regime cbinded together: [A_{m,1}:...:A_{m,p}] .
|
alpha_mt |
a (T \times M) matrix such that [t, m] contains the time t
transition weights of the m:th regime.
|
Value
a (T \times d)
matrix such that the i:th row contains the conditional
mean of the process.
[Package
sstvars version 1.1.0
Index]