About TVAR.sim (mTh, thVar)

[K Andrew]

Dear all

I am trying to use TVAR.sim

When I use TVAR with external Threshold Variable, I cannot use TVAR.sim.

Is there anyone who can help me?

---------------- below is a part of my script ------------------------------

thVar   <- data$F
sample <- data[ ,c('A', 'B', 'C', 'D', 'E')]

#1.

res       <- TVAR( sample, lag=3, nthresh=1, thDelay=1,  trim=0.1, thVar = thVar, plot=T)

#2.

res       <- TVAR( sample, lag=3, nthresh=1, thDelay=1,  trim=0.1, mth = 1, plot=T)

#2  works well. I am able to use TVAR.sim. However, I would like to use Threshold variable not in my dataset.

[Matthieu S]

Hi

It is not clear to me how your example relates to your question but yes indeed, the thVar argument is actually not implemented for TVAR.sim()/TVAR.boot(). 

Best, 

Matthieu

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[K Andrew]

Dear Matthieu.

Let dataset be  Y =  [C I DR R] and Thv = Threshold variable which is moving average of R. 

I am not sure whether I understand this code but in my opinion, 

if p =3, d=1 then, my code could be like below. 

res       <- TVAR( Y, lag=3, nthresh=1, thDelay=1,  trim=0.1, thVar = Thv, plot=T)

However, in this case, I cannot get girf using tsdyn. 

Thus, what I want to ask is how I can calculate girf in this case.

Thanks. 

2017년 10월 23일 월요일 오전 6시 16분 17초 UTC+9, K Andrew 님의 말: