arP {MSTest} | R Documentation |
Autoregressive transition matrix
Description
This function converts a transition matrix to the transition matrix consistent with a Markov-switching autoregressive model.
Usage
arP(P, k, ar)
Arguments
P |
original transition matrix. |
k |
integer determining the number of regimes. |
ar |
number of autoregressive lags. |
Value
transformed transition matrix.
[Package MSTest version 0.1.5 Index]