checkConstraintMat

a positive integer specifying the order of AR coefficients.

a positive integer specifying the number of mixture components or regimes.

Specifies the linear constraints.<dl class="dl-horizontal">
<dt>For non-restricted models:</dt><dd>a list of size \((pxq_{m})\) constraint matrices \(R_{m}\) of full column rank
 satisfying \(\phi_{m}\)\(=\)\(R_{m}\psi_{m}\) for all \(m=1,...,M\), where
 \(\phi_{m}\)\(=(\phi_{m,1},...,\phi_{m,p})\) and \(\psi_{m}\)\(=(\psi_{m,1},...,\psi_{m,q_{m}})\).</dd>
<dt>For restricted models:</dt><dd>a size \((pxq)\) constraint matrix \(R\) of full column rank satisfying
 \(\phi\)\(=\)\(R\psi\), where \(\phi\)\(=(\phi_{1},...,\phi_{p})\) and
 \(\psi\)\(=\psi_{1},...,\psi_{q}\).</dd>
</dl>Symbol \(\phi\) denotes an AR coefficient. Note that regardless of any constraints, the nominal order of AR coefficients is alway <code>p</code> for all regimes.
This argument is ignored if <code>constraints==FALSE</code>.

an (optional) logical argument stating whether the AR coefficients \(\phi_{m,1},...,\phi_{m,p}\) are restricted
to be the same for all regimes. Default is <code>FALSE</code>.

restricted

<code>checkConstraintMat</code> ckecks for some parts that the constraint matrices R are correctly set.

Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR) and
Student's t Mixture Autoregressive (StMAR) models, quantile residual tests, graphical diagnostics,
forecast and simulate from GMAR and StMAR processes. Also general linear constraints and restricting
autoregressive parameters to be the same for all regimes are supported.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Leena Kalliovirta (2012) <doi:10.1111/j.1368-423X.2011.00364.x>.

Savi Virolainen

uGMAR

Estimate Univariate Gaussian or Student's t Mixture
Autoregressive Model

checkConstraintMat function

Specifies the linear constraints.<dl class='dl-horizontal'>
<dt>For non-restricted models:</dt><dd>a list of size \((pxq_{m})\) constraint matrices \(R_{m}\) of full column rank
 satisfying \(\phi_{m}\)\(=\)\(R_{m}\psi_{m}\) for all \(m=1,...,M\), where
 \(\phi_{m}\)\(=(\phi_{m,1},...,\phi_{m,p})\) and \(\psi_{m}\)\(=(\psi_{m,1},...,\psi_{m,q_{m}})\).</dd>
<dt>For restricted models:</dt><dd>a size \((pxq)\) constraint matrix \(R\) of full column rank satisfying
 \(\phi\)\(=\)\(R\psi\), where \(\phi\)\(=(\phi_{1},...,\phi_{p})\) and
 \(\psi\)\(=\psi_{1},...,\psi_{q}\).</dd>
</dl>Symbol \(\phi\) denotes an AR coefficient. Note that regardless of any constraints, the nominal order of AR coefficients is alway <code>p</code> for all regimes.
This argument is ignored if <code>constraints==FALSE</code>.

checkConstraintMat: Check constraint matrices R

Description

Usage

Arguments

Value