test.model.vect.MSAR

observed (or reference) time series, array of dimension T*N.samples*d

data

simulated time series, array of dimension T*N.sim*d.
N.sim have to be K*N.samples with K large enough (for instance, K=100)

simu

to be considered (usefull for state space models)

Performs bootstrap statistical on covariance to validate MSVAR models.

MSAR model validation

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.

test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to validate MSVAR models.

Description

Usage

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Value

Details

See Also