hdMTD {hdMTD} | R Documentation |
Inference in MTD models
Description
This function estimates the relevant lag set in a Mixture Transition Distribution (MTD) model using one of the available methods. By default, it applies the Forward Stepwise ("FS") method, which is particularly useful in high-dimensional settings. The available methods are:
"FS" (Forward Stepwise): selects the lags by a criteria that depends on their oscillations.
"CUT": a method that selects the relevant lag set based on a predefined threshold.
"FSC" (Forward Stepwise and Cut): applies the "FS" method followed by the "CUT" method.
"BIC": selects the lag set using the Bayesian Information Criterion.
Usage
hdMTD(X, d, method = "FS", ...)
Arguments
X |
A vector or single-column data frame containing a chain sample. |
d |
A positive integer representing an upper bound for the chain order. |
method |
A character string indicating the method for estimating the relevant lag set. The available methods are: "FS" (default), "FSC", "CUT", and "BIC". See the Details section and the documentation of the corresponding method functions for more information. |
... |
Additional arguments for the selected method. If not specified, default values will be used (see Details ). |
Details
The function dynamically calls the corresponding method function (e.g., hdMTD_FSC()
for
method = "FSC"
). Additional parameters specific to each method can be provided via ...
,
and default values are used for unspecified parameters.
#' This function serves as a wrapper for the method-specific functions:
-
hdMTD_FS()
, formethod = "FS"
-
hdMTD_FSC()
, formethod = "FSC"
-
hdMTD_CUT()
, formethod = "CUT"
-
hdMTD_BIC()
, formethod = "BIC"
Any additional parameters (...
) must match those accepted by the corresponding method function.
If a parameter value is not explicitly provided, a default value is used.
The main default parameters are:
-
S = seq_len(d)
: Used in "BIC" or "CUT" methods. -
l = d
. Required in "FS" or "FSC" methods. -
alpha = 0.05
,mu = 1
. Used in "CUT" or "FSC" methods. -
xi = 0.5
. Used in "CUT", "FSC" or "BIC" methods. -
minl = 1
,maxl = length(S)
,byl = FALSE
. Used in "BIC" method. All default values are specified in the documentation of the method-specific functions.
Value
A vector containing the estimated relevant lag set.
Examples
X <- testChains[,1]
hdMTD(X = X, d = 5, method = "FS", l = 2)
hdMTD(X = X, d = 5, method = "BIC", xi = 1, minl = 3, maxl = 3)