NHMSAR (version 1.0)

regimes.plot.MSAR: Plot MSAR times series with regimes

Description

Plot MSAR times series with regimes.

Usage

regimes.plot.MSAR(res, data, ex = 1, col.l = "red", nc = 1, 
ylim = NULL, xlab = "time", ylab = "series", d = NULL, dt = 1, lwd = 1)

Arguments

res

list obtained from fit.MSAR fonction as result of MSAR fitting

data

data to plot

ex

number of sample

nc

component number (useful for multivariate time series)

col.l

color of time series (default is red)

ylim

range for the plotted 'y' values, defaulting to the range of the finite values of 'y'

xlab

a title for the x axis

ylab

a title for the y axis

d

dt

time step (default=1)

lwd

width of the line

Value

• Returns a plot and the regimes time series.

Examples

data(lynx)
T = length(lynx)
data = array(log(lynx),c(T,1,1))
theta.init = init.theta.MSAR(data,M=2,order=2,label="HH")
mod.lynx = fit.MSAR(data,theta.init)
regimes.plot.MSAR(mod.lynx,data,ylab="Captures number")

theta.init = init.theta.MSAR(data,M=2,order=2,label="NH",nh.transitions="logistic")
attributes(theta.init)
theta.init$A0 = mod.lynx$theta$A0
theta.init$A = mod.lynx$theta$A
theta.init$sigma = mod.lynx$theta$sigma
theta.init$prior = mod.lynx$theta$prior
theta.init$transmat = mod.lynx$theta$transmat
theta.init$par.trans = matrix(c(1,-1,-.2,.2),2,2)
Y = array(data[2:T,,],c(T-1,1,1))
Z = array(data[2:T,,],c(T-1,1,1))
mod.lynx = fit.MSAR(Y,theta.init,verbose=TRUE,MaxIter=20,covar.trans=Z)
regimes.plot.MSAR(mod.lynx,data,ylab="Captures number")

## Not run
# Fit Homogeneous MS-AR models - multivariate time series
#data(PibDetteDemoc)
#T = length(unique(PibDetteDemoc$year))-1
#N.samples = length(unique(PibDetteDemoc$country))
#PIB = matrix(PibDetteDemoc$PIB,N.samples,T+1)
#Dette = matrix(PibDetteDemoc$Dette,N.samples,T+1)
#Democratie = matrix(PibDetteDemoc$Democratie,N.samples,T+1)

#d = 2
#Y = array(0,c(T,N.samples,2))
#for (k in 1:N.samples) {
#   Y[,k,1] = diff(log(PIB[k,]))
#   Y[,k,2] = diff(log(Dette[k,]))
#}
#Democ = Democratie[,2:(T+1)] 
#theta.hh.1 = init.theta.MSAR(Y,M=4,order=1,label="HH")
#res.hh = fit.MSAR(Y,theta.hh.1,verbose=TRUE,MaxIter=200)
#par(mfrow=c(2,1))
#regimes.plot.MSAR(res.hh,Y,ex=30,ylab="GDP")
#regimes.plot.MSAR(res.hh,Y,ex=30,nc=2,ylab="Debt")