dmnormB

numeric type object, value to compute the density of multivariate normal distribution. Not NULL

numeric type, mean of multivariate normal distribution. Not NULL

mean

matrix type object, covariance parameter of multivariate normal distribution. Not NULL

sigma

Compute multivariate normal density with class <code>Brobdingnag</code> objects.

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>.

dmnormB: Multivariate normal density using Brobdingnag class

Description

Usage

Arguments

Value