get_mu_yt_Cpp function

Calculate the conditional means of the process

Calculates the conditional means $\mu_{y,t}$ of the process

get_mu_yt_Cpp(obs, all_phi0, all_A, alpha_mt)

Arguments

• obs: a $(T \times dp)$ matrix such that the i:th row contains the vector $(y_{i-1},...,y_{i-p})$ $((dp)x1)$, where $y_{i}=(y_{1i},...,y_{di})$

  $(dx1)$. That is, the initial values are included but the last observations not.

• all_phi0: a $(d \times M)$ matrix such that the m:th column contains the intercept parameters of the m:th regime.

• all_A: a $(d \times dp \times M)$ array such that the slice [, , m]

  contains the AR matrices of the m:th regime cbinded together: $[A_{m,1}:...:A_{m,p}]$.

• alpha_mt: a $(T \times M)$ matrix such that [t, m] contains the time t transition weights of the m:th regime.

Returns

a $(T \times d)$ matrix such that the i:th row contains the conditional mean of the process.