GenHMM1d (version 0.2.1)

ForecastHMMVAR: 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)

Value

var

values at risk (1 x horizon)

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).

Examples

# \donttest{
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)
# }