regime_distance {gmvarkit} | R Documentation |
Calculate "distance" between two (scaled) regimes
\upsilon_{m}
= (\phi_{m,0},
\phi_{m}
,\sigma_{m})
Description
regime_distance
calculates "distance" between two scaled regimes. This is used in
the genetic algorithm.
Usage
regime_distance(regime_pars1, regime_pars2)
Arguments
regime_pars1 |
a length |
regime_pars2 |
a length |
Value
Returns "distance" between regime_pars1
and regime_pars2
. Values are scaled
before calculating the "distance". Read the source code for more details.
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 Unpublished working paper, available as arXiv:2109.13648.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