Object class “regime” creation
Create an object of class “regime” given nonstructural and structural parameters for each regime.
mtaregime(orders = list(p = 1,q = 0,d = 0), cs = NULL, Phi, Beta = NULL, Delta = NULL, Sigma)
orders |
list type object with names (p,q,d), number of lags of Yt, Xt and Zt, respectively. Default p = 1, q = 0, d = 0 |
cs |
matrix type object, the constant term of the regime specification. Default NULL |
Phi |
list type object with names (phi1, ..., phip), each one a matrix (kxk) type object autoregressive specification. Not NULL |
Beta |
list type object with names (beta1, ..., betaq), each one a matrix (kxν) type object covariate parameters specification Default NULL |
Delta |
list type object with names (delta1, ..., deltad), each one a matrix (kx1) type object parameter specification of Threshold process. Default NULL |
Sigma |
a positive-definite symmetric matrix (kxk), specification of errors covariate matrix. Not NULL |
Causes creation of the object class “regime”. Sigma matrix corresponds to Σ (root of the covariance matrix). When cs is not specified or only matrices are delivered for some lags, the function assumes unspecified 0 (matrix). Rows number in the Phi, Beta and Delta matrix should be the same (k dimension of variables in Yt).
Return list type object of class “regime” with the values of the arguments
Valeria Bejarano vbejaranos@unal.edu.co & Andrey Rincon adrincont@unal.edu.co
Calderon, S. and Nieto, F. (2017) Bayesian analysis of multivariate threshold autoregress models with missing data. Communications in Statistics - Theory and Methods 46 (1):296–318. doi:10.1080/03610926.2014.990758.
# Creation of parameters for regimen with orders = c(2,1,1), nu = 1 y k = 2. ## previous objects orders = list(p = 2,q = 1,d = 1) Phi = list(phi2 = matrix(c(0.1,0.6,-0.4,0.5),2,2, byrow = TRUE)) Beta = list(beta1 = matrix(c(0.3,-0.4),2, 1)) Delta = list(delta1 = matrix(c(0.6,1),2,1)) Sigma = matrix(c(1,0.6,0.6,1.5),2,2,byrow = TRUE) cs = matrix(c(1,-1),nrow = 2) ## creacion de la clase regime Ri = mtaregime(orders = orders,Phi = Phi,Beta = Beta,Delta = Delta, Sigma = Sigma,cs = cs) class(Ri)
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