vcov method for objects of class mtar — vcov.mtar • mtarm

Computes estimates of the variance–covariance matrices for the scale parameters of a fitted multivariate TAR model.

Usage

# S3 method for class 'mtar'
vcov(object, ..., FUN = mean)

Arguments

object: an object of class mtar, typically obtained from a call to mtar().
...: additional arguments passed to FUN.
FUN: a function to be applied to the MCMC chains of the scale parameters in order to obtain point estimates. By default, FUN is set to mean().

Value

A list containing the variance–covariance estimates obtained by applying FUN to the MCMC chains associated with the scale parameters.