emisprob.MSAR.VM

array of univariate or multivariate series with dimension T*N.samples*d.
T: number of time steps of each sample, N.samples: number of realisations of the same stationary process, d: dimension.

data

model's parameter; object of class MSAR. See also init.theta.MSAR.VM.

theta

covariables for emission probabilities.

covar

Computes emission probabilities for von Mises MSAR models

Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations.  Penalization methods are implemented for Markov Switching Vector Autoregressive Models of order 1 only. Most functions of the package handle missing values.

emisprob.MSAR.VM: Emission probabilities for von Mises MSAR

Description

Usage

Arguments

Value

References

See Also