regime_distance

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

internal

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t
mixture vector autoregressive models, 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 (2025) <doi:10.1080/07350015.2024.2322090>,
Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.

Savi Virolainen

gmvarkit

Estimate Gaussian and Student's t Mixture Vector Autoregressive
Models

regime_distance function

<dl><dt>regime_pars1</dt>
<dd>a length \(pd^2+d+d(d+1)/2\) vector
\(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\).</dd>
<dt>regime_pars2</dt>
<dd>a length \(pd^2+d+d(d+1)/2\) vector
\(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\).</dd></dl>

Arguments

Warning

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

<dl>

<dt>regime_pars1</dt>
<dd>a length \(pd^2+d+d(d+1)/2\) vector
\(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\).</dd>


<dt>regime_pars2</dt>
<dd>a length \(pd^2+d+d(d+1)/2\) vector
\(\upsilon_{m}\)\( = (\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m})\).</dd>

</dl>

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

Description

Usage

Value

Arguments

Warning

References