Fit a model for mean and variance

Fit a model for mean and variance

Usage

fit_meanvar(x, tau, ...)

Arguments

x

A time series

tau

a set of indices representing a changepoint set

...

currently ignored

Value

A mod_cpt object.

Details

In a mean-variance model, both the means and variances are allowed to vary across regions. Thus, this model fits a separate \(\mu_j\) and \(\sigma_j\) for each region \(j\).

See also

changepoint::cpt.meanvar()

Other model-fitting: fit_arima(), fit_lmshift(), fit_meanshift(), fit_nhpp(), model_args(), model_name(), new_fun_cpt(), whomademe()

Examples

# Fit a mean-variance model
fit_meanvar(CET, tau = c(42, 330))
#> ℹ Model: A meanvar  model with 3 region(s).
#> → Each region has 2 parameter(s).
#> → The model has 0 global parameter(s).