Fit mixture vector autoregressive models

Provides EM-estimation of mixture autoregressive models for multivariate time series

Usage

mixVARfit(y, model, fix = FALSE, tol = 10^-6, verbose = FALSE)

Arguments

y

a data matrix.

model

an object of class "MixVAR" with initial values of parameter for EM estimation.

tol

Threshold for convergence criterion.

fix

if TRUE, fix the shift parameters.

verbose

if TRUE print information during the optimisation.

Details

Estimation is done under the assumption of multivariate Gaussian innovations.

Value

An object of class MixVARGaussian with EM estimates of model parameters.

References

10.2307/20445243mixAR

Author

Davide Ravagli

See also

fit_mixVAR-methods for examples