geweke.diagTAR

This function computes Geweke's convergence diagnostic for Markov chain Monte Carlo
(MCMC) output obtained from Bayesian estimation of multivariate TAR models. It is a
wrapper around <code>geweke.diag()</code> that applies the diagnostic to the posterior chains
returned by a call to <code>mtar()</code>.

Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.

Luis Hernando Vanegas

mtarm

Bayesian Estimation of Multivariate Threshold Autoregressive
Models

Sergio Alejandro Calderón

Luz Marina Rondón

geweke.diagTAR function

<dl><dt>x</dt>
<dd>An object of class <code>mtar</code> returned by the function <code>mtar()</code>.</dd>
<dt>frac1</dt>
<dd>A numeric value in \((0,1)\) specifying the fraction of the initial part
of each chain to be used in the diagnostic.</dd>
<dt>frac2</dt>
<dd>A numeric value in \((0,1)\) specifying the fraction of the final part
of each chain to be used in the diagnostic.</dd></dl>

Arguments

Geweke's convergence diagnostic for mtar objects — geweke.diagTAR

<dl>

<dt>x</dt>
<dd>An object of class <code>mtar</code> returned by the function <code>mtar()</code>.</dd>


<dt>frac1</dt>
<dd>A numeric value in \((0,1)\) specifying the fraction of the initial part
of each chain to be used in the diagnostic.</dd>


<dt>frac2</dt>
<dd>A numeric value in \((0,1)\) specifying the fraction of the final part
of each chain to be used in the diagnostic.</dd>

</dl>

geweke.diagTAR: Geweke's convergence diagnostic for `mtar` objects

Description

Usage

Value

Arguments

See Also