具体步骤看例子——
data(HamiltonGDP)
set.seed(214)
m2 <- msbvar(HamiltonGDP, p=1, h=2,
lambda0=0.8, lambda1=0.15, lambda3=1, lambda4=0.25,
lambda5=1, mu5=0, mu6=0, qm=12,
alpha.prior=c(100, 30)*diag(2) +
matrix(12, 2, 2), prior=0, max.iter=30,
initialize.opt=NULL)
# Now plot the filtered probabilities of a recession
# Compare to Kim and Nelson (1999: 79, 220)
fp.rec <- ts(m2$fp[,1], start=tsp(HamiltonGDP)[1],
freq=tsp(HamiltonGDP)[3])
plot(fp.rec)
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