regime_distance function

Calculate "distance" between two (scaled) regimes upsilon_{m} $= (\phi_{m,0},$phi_{m} $,\sigma_{m})$

regime_distance calculates "distance" between two scaled regimes.

regime_distance(regime_pars1, regime_pars2)

Arguments

• regime_pars1: a length $pd^2+d+d(d+1)/2$ vector upsilon_{m} $= (\phi_{m,0},$phi_{m} $,\sigma_{m})$.
• regime_pars2: a length $pd^2+d+d(d+1)/2$ vector upsilon_{m} $= (\phi_{m,0},$phi_{m} $,\sigma_{m})$.

Returns

Returns "distance" between regime_pars1 and regime_pars2. Values are scaled before calculating the "distance". Read the source code for more details.

Warning

No argument checks!

References

• Kheifets I.L., Saikkonen P.J. 2020. Stationarity and ergodicity of Vector STAR models. Econometric Reviews, 39 :4, 407-414.
• Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
• Lanne M., Virolainen S. 2025. A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. Unpublished working paper, available as arXiv:2403.14216.
• Virolainen S. 2025. Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. Unpublished working paper, available as arXiv:2404.19707.

@keywords internal