regime_distance

a length \(pd^2+d+d(d+1)/2\) vector
\(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\).

regime_pars1

regime_pars2

<code>regime_distance</code> calculates "distance" between two scaled regimes. This is used in
 the genetic algorithm.

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics,
simulations, forecasting, and estimation of generalized impulse response function and generalized
forecast error variance decomposition.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.

Savi Virolainen

gmvarkit

Estimate Gaussian Mixture Vector Autoregressive Model

regime_distance function

Warning

Calculate "distance" between two (scaled) regimes
 \(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\) — regime_distance

regime_distance: Calculate "distance" between two (scaled) regimes \(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\)

Description

Usage

Arguments

Value

Warning

References