argrid_MSVARmdl function

Vector autoregressive moment grid

Creates grid of means and covariance matrices consistent with a Markov-switching vector autoregressive model.

argrid_MSVARmdl(mu, sigma, k, ar, msmu, msvar)

Arguments

• mu: a (k x q) matrix of means in each regime (for k regimes and q time series).
• sigma: list with k regime specific (q x q) covariance matrices.
• k: integer determining the number of regimes.
• ar: number of autoregressive lags.
• msmu: Boolean indicator. If TRUE mean is subject to change. If FALSE mean is constant across regimes.
• msvar: Boolean indicator. If TRUE variance is subject to change. If FALSE variance is constant across regimes.

Returns

List with M regime specific (q x k) matrices of means, List with M regime specific covariance matrices, and vector indicating the corresponded 1,..., k regime.