dwishartB

matrix type object, value to compute the density of Wishart distribution. Not NULL

numeric type, degrees of freedom. Not NULL

matrix type object, parameter of Wishart distribution. Not NULL

Compute Wishart 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>.

dwishartB: Wishart density using Brobdingnag class

Description

Usage

Arguments

Value