Description Objects from the Class Slots Methods Author(s)
Class for Univariate GAS model Simulation.
A virtual Class: No objects may be created from it.
ModelInfo
:Object of class list
. Contains information about the univariate GAS specification:
iT
numeric
Time length of simulated observations.
iK
numeric
Number of (possibly) time-varying parameters implied by the distributional assumption.
vKappa
numeric
Vector of unconditional level for the reparametrised vector of parameters.
mA
matrix
Of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.
mB
matrix
Of autoregressive coefficients of dimension iK x iK.
Dist
character
Label of the conditional distribution, see DistInfo
ScalingType
character
Representing the scaling mechanism for the conditional score, see DistInfo.
GASDyn
:Object of class list
. Contains: the series of simulated parameters (GASDyn$mTheta
), the series of scaled scores (GASDyn$mInnovation
), the series of unrestricted simulated parameters (GASDyn$mTheta_tilde
), the series of log densities (GASDyn$vLLK
), the log likelihood evaluated at its optimum value (GASDyn$dLLK
).
Data
:Object of class numeric
. Vector of length iT
of simulated data.
show
signature(object = 'uGASSim')
: Show summary.
plot
signature(x = 'uGASSim', y = 'missing')
: Plot simulated data and parameters.
getFilteredParameters
signature(object = 'uGASSim')
: Extract simulated parameters.
getObs
signature(object = 'uGASSim')
: Extract simulated observations.
coef
signature(object = 'uGASSim')
: Extract delivered coefficients.
quantile
signature(object = 'uGASSim')
: Compute quantiles of the filtered simulated density at each point in time. It accepts the additional argument probs
representing the vector of probabilities.
ES
signature(object = 'uGASSim')
: Compute the Expected Shortfall of the filtered simulated density at each point in time. It accepts the additional argument probs
representing the vector of probabilities.
Leopoldo Catania
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