gmvarkit (version 1.1.3)

in_paramspace_int: Determine whether the parameter vector lies in the parameter space

Description

in_paramspace_int checks whether the parameter vector lies in the parameter space.

Usage

in_paramspace_int(p, M, d, all_boldA, alphas, all_Omega)

Arguments

p

a positive integer specifying the autoregressive order of the model.

M

a positive integer specifying the number of mixture components.

d

the number of time series in the system.

all_boldA

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

alphas

(Mx1) vector containing all mixing weight parameters, obtained from pick_alphas.

all_Omega

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

Value

Returns TRUE if the given parameter values are in the parameter space and FALSE otherwise. This function does NOT consider the identifiability condition!

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.