datasim_numreg

<p>object of class &#8220;<code>regime_number</code>&#8221;</p>

datasets

Implements parameter estimation using a Bayesian approach for Multivariate Threshold Autoregressive (MTAR) models with missing data using Markov Chain Monte Carlo methods. Performs the simulation of MTAR processes (mtarsim()), estimation of matrix parameters and the threshold values (mtarns()),  identification of the autoregressive orders using Bayesian variable selection (mtarstr()), identification of the number of regimes using Metropolised Carlin and Chib (mtarnumreg()) and estimate missing data, coefficients and covariance matrices conditional on the autoregressive orders, the threshold values and the number of regimes (mtarmissing()). Calderon and Nieto (2017) <doi:10.1080/03610926.2014.990758>.

Andrey Rincon Torres

BMTAR

Bayesian Approach for MTAR Models with Missing Data

datasim_numreg function

<p>Object with class <code>regime_number</code></p>

datasim_numreg: Multivariate threshold autoregressive process simulation for estimate number of regimes

Description

Usage

Arguments

Format

References