err_k

Calculates residuals under a certain component of the mixture.

 internal

 Residual 

 component 

Model time series using mixture autoregressive (MAR)
models. Implemented are frequentist (EM) and Bayesian
methods for estimation, prediction and model
evaluation. See Wong and Li (2002)
<doi:10.1111/1467-9868.00222>, Boshnakov (2009)
<doi:10.1016/j.spl.2009.04.009>), and the extensive
references in the documentation.

Georgi Boshnakov

mixAR

Mixture Autoregressive Models

Davide Ravagli

err_k function

<dl> <dt>AR</dt>
<dd>a <code>list</code> with autoregressive parameters.</dd> <dt>mu</dt>
<dd>component means.</dd> <dt>y</dt>
<dd>a time series (currently a numeric vector).</dd> <dt>z</dt>
<dd>a vector of allocation to a specific component.</dd> <dt>p</dt>
<dd>maximum autoregressive order</dd> <dt>pk</dt>
<dd>autoregressive order of the component.</dd></dl>

Arguments

Author

Utility function for MixAR — err_k

<dl>

 <dt>AR</dt>
<dd>a <code>list</code> with autoregressive parameters.</dd>

 <dt>mu</dt>
<dd>component means.</dd>

 <dt>y</dt>
<dd>a time series (currently a numeric vector).</dd>

 <dt>z</dt>
<dd>a vector of allocation to a specific component.</dd>

 <dt>p</dt>
<dd>maximum autoregressive order</dd>

 <dt>pk</dt>
<dd>autoregressive order of the component.</dd>

</dl>

err_k: Utility function for MixAR

Description

Usage

Value

Arguments

Author