uGMAR (version 3.0.1)

get_ar_roots: Calculate absolute values of the roots of the AR characteristic polynomials

Description

get_ar_roots calculates absolute values of the roots of the AR characteristic polynomials for each component.

Usage

get_ar_roots(gsmar)

Arguments

gsmar

object of class 'gsmar', generated by function fitGSMAR() or GSMAR().

Value

Returns a list with M elements each containing the absolute values of the roots of the AR characteristic polynomial corresponding to each mixture component.

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36, 247-266.

• Meitz M., Preve D., Saikkonen P. 2018. A mixture autoregressive model based on Student's t-distribution. arXiv:1805.04010 [econ.EM].

• There are currently no published references for G-StMAR model, but it's a straightforward generalization with theoretical properties similar to GMAR and StMAR models.

Examples

# NOT RUN {
params13 <- c(1.4, 0.88, 0.26, 2.46, 0.82, 0.74, 5.0, 0.68, 5.2, 0.72, 0.2)
gmar13 <- GSMAR(data=VIX, p=1, M=3, params=params13, model="GMAR")
get_ar_roots(gmar13)
# }