\\
  0 & -0.6 & 0.2 \\
 0 & 0.2 & 0.3
 \end{pmatrix} \mathbf{X}_{t-2} + \epsilon_{2},
$

Class 3: $ \mathbf{X}_t =
 \begin{pmatrix}
  -0.1 & 0 & 0.4 \\
  0 & 0 & 0\\
  0.4 & 0 & -0.5
 \end{pmatrix} \mathbf{X}_{t-1} + 
 \begin{pmatrix}
  0.2 & 0 & -0.2 \\
  0 & 0 & 0 \\
 -0.2 & 0 & -0.3
 \end{pmatrix} \mathbf{X}_{t-2} + \epsilon_{3},
$\
\
where the noise vectors $\epsilon_i$ are zero-mean multivariate normal realisations, distributed with covariances\
$$\Sigma_{\epsilon_1} = \begin{pmatrix}
  3 & 0.3 & 0.9 \\
  0.3 & 3 & 1.4 \\
  0.9 & 1.4 & 3
 \end{pmatrix}, \ \Sigma_{\epsilon_2} = \begin{pmatrix}
  2 & 1.3 & 0.4 \\
  1.3 & 1.8 & 0.3 \\
  0.4 & 0.3 & 2
 \end{pmatrix}, \ \Sigma_{\epsilon_3} = \begin{pmatrix}
  5 & 3.3 & 2.5 \\
  3.3 & 4.5 & 2.8 \\
 2.5 & 2.8 & 3.5
 \end{pmatrix}.$$

[0.8]{} ![Example realisations of generating processes for the different scenarios used in the simulation study. (a) Short segments of length 100 between class changes; (b) Alternating long/short segments of length 300 and 100 between changes; (c) Long segments of length 300 between changes.[]{data-label="fig:scen"}](fig2-eps-converted-to.pdf "fig:"){width="104mm"}

[0.8]{} ![Example realisations of generating processes for the different scenarios used in 