paramList_MSVARXmdl {MSTest} | R Documentation |
Parameter list for Markov-switching VARX model
Description
This function takes the parameter vector of interest and converts it to a list with specific parameter vectors needed for multivariate Markov-switching functions.
Usage
paramList_MSVARXmdl(theta, q, p, k, qz, msmu, msvar)
Arguments
theta |
Vector of parameters. |
q |
Number of time series. |
p |
Number of autoregressive lags. |
k |
Number of regimes. |
qz |
Number of exogenous variables. |
msmu |
Boolean indicating if the mean switches with regime. |
msvar |
Boolean indicating if the variance switches with regime. |
Value
List with the mean, variance, transition matrix, limiting probabilities, and a vector of state indicators.
[Package MSTest version 0.1.5 Index]