random_regime generates random regime parameters
random_regime(p, M, meanscale, sigmascale, restricted = FALSE,
constraints = NULL, m)a positive integer specifying the order of AR coefficients.
a positive integer specifying the number of mixture components.
a size (2x1) vector specifying the number of GMAR-type components M1 in the
first element and StMAR-type components M2 in the second. The total number of mixture components is M=M1+M2.
a real valued vector of length two specifying the mean (the first element) and standard deviation (the second element)
of the normal distribution from which the \(\mu_{m}\) mean-parameters are generated in random mutations in the genetic algorithm.
Default is c(mean(data), sd(data)).
Note that the genetic algorithm optimizes with mean-parametrization even when parametrization=="intercept", but
input (in initpop) and output (return value) parameter vectors may be intercept-parametrized.
a positive real number specifying the standard deviation of the (zero mean, positive only) normal distribution
from which the component variance parameters are generated in the random mutations in the genetic algorithm.
Default is var(stats::ar(data, order.max=10)$resid, na.rm=TRUE).
a logical argument stating whether the AR coefficients \(\phi_{m,1},...,\phi_{m,p}\) are restricted to be the same for all regimes.
specifies linear constraints applied to the autoregressive parameters.
a list of size \((pxq_{m})\) constraint matrices \(C_{m}\) of full column rank satisfying \(\phi_{m}\)\(=\)\(C_{m}\psi_{m}\) for all \(m=1,...,M\), where \(\phi_{m}\)\(=(\phi_{m,1},...,\phi_{m,p})\) and \(\psi_{m}\)\(=(\psi_{m,1},...,\psi_{m,q_{m}})\).
a size \((pxq)\) constraint matrix \(C\) of full column rank satisfying \(\phi\)\(=\)\(C\psi\), where \(\phi\)\(=(\phi_{1},...,\phi_{p})\) and \(\psi\)\(=\psi_{1},...,\psi_{q}\).
Symbol \(\phi\) denotes an AR coefficient. Note that regardless of any constraints, the nominal order of AR coefficients is
alway p for all regimes.
Ignore or set to NULL if applying linear constraints is not desired.
which regime?
\(\upsilon_{m}\)\(=(\phi_{m,0},\)\(\phi_{m}\)\(,\sigma_{m}^2)\) where \(\phi_{m}\)=\((\phi_{m,1},...,\phi_{m,p})\).
Not supported!
Replace the vectors \(\phi_{m}\) with vectors \(\psi_{m}\).