uGMAR (version 3.2.6)

get_ar_roots: Calculate absolute values of the roots of the AR characteristic polynomials

Description

get_ar_roots calculates the absolute values of the roots of the AR characteristic polynomials for each mixture component.

Usage

get_ar_roots(gsmar)

Arguments

gsmar

object of class 'gsmar' created with the function fitGSMAR or GSMAR.

Value

Returns a list with M elements each containing the absolute values of the roots of the AR characteristic polynomial corresponding to each mixture component.

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36, 247-266.

• Meitz M., Preve D., Saikkonen P. 2018. A mixture autoregressive model based on Student's t-distribution. arXiv:1805.04010 [econ.EM].

• Virolainen S. 2020. A mixture autoregressive model based on Gaussian and Student's t-distribution. arXiv:2003.05221 [econ.EM].

Examples

# NOT RUN {
params12 <- c(1.7, 0.85, 0.3, 4.12, 0.73, 1.98, 0.63)
gmar12 <- GSMAR(data=simudata, p=1, M=2, params=params12, model="GMAR")
get_ar_roots(gmar12)
# }