gen_pc_coef-class {segMGarch} | R Documentation |
An auxilliary method to calculate piecewise constant coefficients for a user-specified vector of coefficients. The change-points are controlled
by the changepoints
slot in the simMGarch
object.
gen_pc_coef(object, coef) ## S4 method for signature 'simMGarch' gen_pc_coef(object, coef)
object |
A |
coef |
A vector of coefficients. |
Cho, Haeran, and Karolos Korkas. "High-dimensional GARCH process segmentation with an application to Value-at-Risk." arXiv preprint arXiv:1706.01155 (2018).
pw.CCC.obj <- new("simMGarch") coef.vector <- gen_pc_coef(pw.CCC.obj,c(0.2,0.4)) ts.plot(coef.vector,main="piecewise constant coefficients",ylab="coefficient",xlab="time")