ForecastHMMVAR {GenHMM1d} | R Documentation |
Value at risk (VAR) of a univariate HMM at time n+k1, n+k2, ...
Description
This function computes the VAR of a univariate HMM for multiple horizons, given observations up to time n
Usage
ForecastHMMVAR(U, ZI = 0, family, theta, Q, eta, k = 1)
Arguments
U |
values (n x 1) between 0 and 1 |
ZI |
1 if zero-inflated, 0 otherwise (default) |
family |
distribution name; run the function distributions() for help |
theta |
parameters; (r x p) |
Q |
probability transition matrix for the regimes; (r x r) |
eta |
vector of the estimated probability of each regime at time n; (1 x r) |
k |
prediction times (may be a vector of integers). |
Value
var |
values at risk (1 x horizon) |
Examples
family = "gaussian"
theta = matrix(c(-1.5, 1.7, 1, 1),2,2)
Q = matrix(c(0.8, 0.3, 0.2, 0.7), 2, 2)
eta = c(0.96, 0.04)
U=c(0.01,0.05)
k=c(1,2,3,4,5)
ForecastHMMVAR(U, 0, family, theta, Q, eta=eta,k)
[Package GenHMM1d version 0.2.1 Index]