check_constraint_mat function

Check the constraint matrices

check_constraint_mat checks for some parts that the constraint matrices are correctly set.

check_constraint_mat(p, M, restricted = FALSE, constraints = NULL)

Arguments

• p: a positive integer specifying the autoregressive order of the model.

• M: - For GMAR and StMAR models:: a positive integer specifying the number of mixture components.

  • For G-StMAR models:: a size (2x1) integer vector specifying the number of GMAR type components M1 in the first element and StMAR type components M2 in the second element. The total number of mixture components is M=M1+M2.

• restricted: a logical argument stating whether the AR coefficients $\phi_{m,1},...,\phi_{m,p}$ are restricted to be the same for all regimes.

• constraints: specifies linear constraints imposed to each regime's autoregressive parameters separately.

  • For non-restricted models:: 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} $=(\psi_{m,1},...,\psi_{m,q_{m}})$.
  • For restricted models:: a size $(pxq)$ constraint matrix C of full column rank satisfying phi $=$Cpsi , where phi $=(\phi_{1},...,\phi_{p})$ and psi $=\psi_{1},...,\psi_{q}$.

  The symbol $\phi$ denotes an AR coefficient. Note that regardless of any constraints, the autoregressive order is always p for all regimes. Ignore or set to NULL if applying linear constraints is not desired.

Returns

Doesn't return anything but throws an informative error if finds out that something is wrong.