extract_regime {uGMAR} | R Documentation |
Extract regime from a parameter vector
Description
extract_regime
extracts the specified regime from the GMAR, StMAR, or G-StMAR model parameter vector.
Doesn't extract mixing weight parameter \alpha
.
Usage
extract_regime(
p,
M,
params,
model = c("GMAR", "StMAR", "G-StMAR"),
restricted = FALSE,
constraints = NULL,
regime,
with_dfs = TRUE
)
Arguments
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 |
regime |
a positive integer in the interval [1, M] defining which regime should be extracted. |
with_dfs |
Should the degrees of freedom parameter (if any) be included? |
Value
Returns a numeric vector corresponding to the regime with...
- For non-restricted models:
-
- For GMAR model:
Size
(p+2x1)
vector(\phi_{m,0},\phi_{m,1},...,\phi_{m,p}, \sigma_{m}^2)
.- For StMAR model:
Size
(p+3x1)
vector(\phi_{m,0},\phi_{m,1},...,\phi_{m,p}, \sigma_{m}^2, \nu_{m})
.- For G-StMAR model:
Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.
- With linear constraints:
Parameter vector as described above, but vector
\phi_{m}
replaced with vector\psi_{m}
that satisfies\phi_{m}
=
R_{m}\psi_{m}
.
- For restricted models:
-
- For GMAR model:
Size
(2x1)
vector(\phi_{m,0}, \sigma_{m}^2)
.- For StMAR model:
Size
(3x1)
vector(\phi_{m,0}, \sigma_{m}^2, \nu_{m})
.- For G-StMAR model:
Same as GMAR for GMAR type regimes and same as StMAR for StMAR type regimes.
- With linear constraints:
Parameter vector as described above.