in_paramspace_int

a positive integer specifying the autoregressive order of the model.

a positive integer specifying the number of mixture components.

number of time series in the system.

3D array containing the \(((dp)x(dp))\) "bold A" matrices related to each mixture component VAR-process,
obtained from <code>form_boldA</code>. Will be computed if not given.

all_boldA

(Mx1) vector containing all mixing weight parameters, obtained from <code>pick_alphas</code>.

alphas

3D array containing all covariance matrices \(\Omega_{m}\), obtained from <code>pick_Omegas</code>.

all_Omega

<code>in_paramspace_int</code> checks whether the parameter vector lies in the parameter
 space or not.

Unconstrained and constrained maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR)
model, quantile residual tests, graphical diagnostics, simulations, and forecasting.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

in_paramspace_int: Determine whether the parameter vector lies in the parameter space or not

Description

Usage

Arguments

Value

References