Bayesian Estimation of Multivariate Threshold Autoregressive Models

Documentation for package ‘mtarm’ version 0.1.8

ars	Auxiliary function to specify the number of regimes and lag orders
as.mcmc.mtar	Coercion of 'mtar' objects to 'mcmc' objects
coef.mtar	coef method for objects of class 'mtar'
DIC	Deviance Information Criterion (DIC)
DIC.mtar	Deviance Information Criterion (DIC) for objects of class 'mtar'
geweke.diagTAR	Geweke's convergence diagnostic for 'mtar' objects
geweke.plotTAR	Geweke-Brooks plot for objects of class 'mtar'
HPDinterval.mtar	Highest Posterior Density intervals for objects of class 'mtar'
iceland.rf	Temperature, precipitation, and two river flows in Iceland
mtar	Bayesian estimation of a multivariate Threshold Autoregressive (TAR) model.
mtar_grid	Bayesian Estimation of Multivariate TAR Models
out.of.sample	Out-of-sample predictive accuracy measures
predict.mtar	Forecasting for multivariate TAR models
priors	Auxiliary function for setting hyperparameter values
returns	Returns of the closing prices of three financial indexes
riverflows	Rainfall and two river flows in Colombia
simtar	Simulation of multivariate time series from a TAR model
US.returns	U.S. Stock Returns
vcov.mtar	vcov method for objects of class 'mtar'
WAIC	Watanabe-Akaike or Widely Available Information Criterion (WAIC)
WAIC.mtar	Watanabe-Akaike or Widely Available Information Criterion (WAIC) for objects of class 'mtar'