mixVARfit

Provides EM-estimation of mixture autoregressive models for
 multivariate time series

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

mixVARfit function

<dl> <dt>y</dt>
<dd>a data matrix.</dd> <dt>model</dt>
<dd>an object of class <code>"MixVAR"</code> with initial values of parameter
 for EM estimation.</dd> <dt>tol</dt>
<dd>Threshold for convergence criterion.</dd>
 <dt>fix</dt>
<dd>if TRUE, fix the shift parameters.</dd> <dt>verbose</dt>
<dd>if <code>TRUE</code> print information during the optimisation.</dd></dl>

Arguments

Author

Fit mixture vector autoregressive models — mixVARfit

<dl>

 <dt>y</dt>
<dd>a data matrix.</dd>

 <dt>model</dt>
<dd>an object of class <code>"MixVAR"</code> with initial values of parameter
 for EM estimation.</dd>

 <dt>tol</dt>
<dd>Threshold for convergence criterion.</dd>


 <dt>fix</dt>
<dd>if TRUE, fix the shift parameters.</dd>

 <dt>verbose</dt>
<dd>if <code>TRUE</code> print information during the optimisation.</dd>

</dl>

mixVARfit: Fit mixture vector autoregressive models

Description

Usage

Value

Arguments

Author

Details

References

See Also