paramList_MSARmdl function

Parameter list for Markov-switching autoregressive model

This function takes the parameter vector of interest and converts it to a list with specific parameter vectors needed for univariate Markov-switching functions.

paramList_MSARmdl(theta, p, k, msmu, msvar)

Arguments

• theta: Vector of parameters.
• p: Number of autoregressive lags.
• k: Number of regimes.
• msmu: Boolean indicating if the mean switches with regime.
• msvar: Boolean indicating if the variance switches with regime.

Returns

List with the mean, variance, transition matrix, limiting probabilities, and a vector of state indicators.