data(sim3)
sim3_mcgf <- mcgf_rs(sim3$data, dists = sim3$dists, label = sim3$label)
sim3_mcgf <- add_acfs(sim3_mcgf, lag_max = 5)
sim3_mcgf <- add_ccfs(sim3_mcgf, lag_max = 5)
# Fit a fully symmetric model with known variables
fit_fs <- fit_base(
sim3_mcgf,
lag_ls = 5,
model_ls = "fs",
rs = FALSE,
par_init_ls = list(list(beta = 0)),
par_fixed_ls = list(list(
nugget = 0,
c = 0.05,
gamma = 0.5,
a = 0.5,
alpha = 0.2
))
)
# Set beta to 0 to fit a separable model with known variables
fit_fs[[1]]$fit$par <- 0
# Store the fitted separable model to 'sim3_mcgf'
sim3_mcgf <- add_base(sim3_mcgf, fit_base_ls = fit_fs)
# Fit a regime-switching Lagrangian model.
fit_lagr_rs <- fit_lagr(
sim3_mcgf,
model_ls = list("lagr_tri"),
par_init_ls = list(
list(v1 = -50, v2 = 50),
list(v1 = 100, v2 = 100)
),
par_fixed_ls = list(list(lambda = 0.2, k = 2))
)
# Store the fitted Lagrangian model to 'sim3_mcgf'
sim3_mcgf <- add_lagr(sim3_mcgf, fit_lagr_ls = fit_lagr_rs)
model(sim3_mcgf)
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