random_df

<code>random_df</code> generates random <code>M2</code> degrees of freedom parameter values, where
<code>M2</code> is number of StMVAR type regimes in the model-

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

random_df function

<dl><dt>M</dt>
<dd><dl>
 <dt>For GMVAR and StMVAR models:</dt>
<dd>a positive integer specifying the number of mixture components.</dd></dl></dd> <dt>For G-StMVAR models:</dt>
<dd>a size \((2\times 1)\) integer vector specifying the number of GMVAR type components <code>M1</code>
 in the first element and StMVAR type components <code>M2</code> in the second element. The total number of mixture components
 is <code>M=M1+M2</code>.</dd>
</dl>
<dt>model</dt>
<dd>is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first <code>M1</code> components
are GMVAR type and the rest <code>M2</code> components are StMVAR type.</dd>

Arguments

Create random degrees of freedom parameter values — random_df

<dl>

<dt>M</dt>
<dd><dl>
 <dt>For GMVAR and StMVAR models:</dt>
<dd>a positive integer specifying the number of mixture components.</dd>

 <dt>For G-StMVAR models:</dt>
<dd>a size \((2\times 1)\) integer vector specifying the number of GMVAR type components <code>M1</code>
 in the first element and StMVAR type components <code>M2</code> in the second element. The total number of mixture components
 is <code>M=M1+M2</code>.</dd>


</dl></dd>


<dt>model</dt>
<dd>is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first <code>M1</code> components
are GMVAR type and the rest <code>M2</code> components are StMVAR type.</dd>

</dl>

random_df: Create random degrees of freedom parameter values

Description

Usage

Value

Arguments