Creates grid of means and covariance matrices consistent with a Markov-switching vector autoregressive model.
argrid_MSVARmdl(mu, sigma, k, ar, msmu, msvar)List with M regime specific (q x k) matrices of means, List with M regime specific covariance matrices, and vector indicating the corresponded 1,..., k regime.
a (k x q) matrix of means in each regime (for k regimes and q time series).
list with k regime specific (q x q) covariance matrices.
integer determining the number of regimes.
number of autoregressive lags.
Boolean indicator. If TRUE mean is subject to change. If FALSE mean is constant across regimes.
Boolean indicator. If TRUE variance is subject to change. If FALSE variance is constant across regimes.