pick_df {gmvarkit} | R Documentation |
Pick the degrees of freedom parameters \nu
=(\nu_{M1+1},...,\nu_{M})
Description
pick_df
picks the degrees of freedom parameters from the given parameter vector.
Usage
pick_df(M, params, model = c("GMVAR", "StMVAR", "G-StMVAR"))
Arguments
M |
|
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
Details
Constrained models are supported, but obtaining the degrees of freedom does not require specifying the constraints.
Value
Returns a length M2
vector containing the degrees of freedom parameters
\nu
=(\nu_{M1+1},...,\nu_{M})
. In the case of the GMVAR model (M2=0
),
returns a numeric vector of length zero.
Warning
No argument checks!
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal