GAS: Generalized Autoregressive Score Models
Version 0.1.9

Simulate, estimate and forecast using univariate and multivariate GAS models.

AuthorLeopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]
Date of publication2017-03-31 16:16:57 UTC
MaintainerLeopoldo Catania <leopoldo.catania@uniroma2.it>
LicenseGPL-3
Version0.1.9
URL https://github.com/LeopoldoCatania/GAS
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("GAS")

Getting started

Package overview
README.md

Popular man pages

BacktestVaR: Backtest Value at Risk (VaR)
Bounds: Numerical bounds imposed in parameters transformation.
fn.solnp: A wrapper to the solnp function of the 'Rsolnp' package of...
GAS-package: Generalized Autoregressive Score models in R
MultiGASSim: Simulate multivariate GAS processes
PIT_test: Goodness of fit for conditional densities
uGASRoll-class: Class for the univariate GAS rolling object
See all...

All man pages Function index File listing

Man pages

BacktestDensity: Backtest a series of one-step ahead density predictions.
BacktestVaR: Backtest Value at Risk (VaR)
Bounds: Numerical bounds imposed in parameters transformation.
ConfidenceBands: Build confidence bands for the filtered parameters
cpichg: Data: Quarterly logarithmic change in percentage points of...
DistInfo: Information for the supported distributions
Distributions: Distributions of the GAS package
dji30ret: data: Dow Jones 30 Constituents Closing Value Log Return
fn.solnp: A wrapper to the solnp function of the 'Rsolnp' package of...
GAS-package: Generalized Autoregressive Score models in R
method-plot: Plot output from an object of the from the GAS package.
mGASFit-class: Class for the Multivariate GAS fitted object
mGASFor-class: Class for the Multivariate GAS Forecast object
mGASRoll-class: Class for the Multivariate GAS Rolling object
mGASSim-class: Class for Multivariate GAS Simulation
mGASSpec-class: Class for the Multivariate GAS model specification
MultiGASFit: Estimate multivariate GAS models
MultiGASFor: Forecast with multivariate GAS models
MultiGASRoll: Rolling forecast with multivariate GAS models
MultiGASSim: Simulate multivariate GAS processes
MultiGASSpec: Multivariate GAS specification
MultiMapParameters: Mapping function for univariate distributions
MultiUnmapParameters: Inverse of MultiMapParameters
PIT_test: Goodness of fit for conditional densities
sp500ret: Data: Daily logarithmic returns in percentage points of the...
sp500rv: Data: SP500 Daily 5 minutes Realized Volatility from...
StockIndices: Data: Daily logarithmic returns in percentage points of the...
tqdata: Data from Bien et al (2011).
uGASFit-class: Class for the univariate GAS fitted object
uGASFor-class: Class for the univariate GAS forecast object
uGASRoll-class: Class for the univariate GAS rolling object
uGASSim-class: Class for Univariate GAS Simulation
uGASSpec-class: Class for the univariate GAS model specification
UniGASFit: Estimate univariate GAS models
UniGASFor: Forecast with univariate GAS models
UniGASRoll: Rolling forecast with univariate GAS models
UniGASSim: Simulate Univariate GAS processes
UniGASSpec: Univariate GAS specification
UniMapParameters: Mapping function for univariate distributions
UniUnmapParameters: Unmapping function for univariate distributions, i.e. inverse...
usunp: US Monthly Civilian Unemployment Rate (UNRATE) from...

Functions

AbsoluteDeviation Source code
ActualOverExpected Source code
AddFixedPar Source code
Array2Matrix Source code
BacktestDensity Man page Source code
BacktestVaR Man page Source code
BinTest Source code
Christoffersen Source code
ConfidenceBands Man page Source code
DQOOStest Source code
DistInfo Man page Source code
DistLabels Man page Source code
DistName Man page Source code
DistNote Source code
DistParameters Man page Source code
DistReference Source code
DistScalingType Man page Source code
DistType Man page Source code
EvalMoments_multi Source code
EvalMoments_univ Source code
EvaluateLogScore_Multi Source code
EvaluateLogScore_Univ Source code
EvaluatePit_Univ Source code
FixedDynamicPar_Multi Source code
FullNamesCoefMulti Source code
FullNamesMulti Source code
FullNamesUni Source code
GAS Man page
GAS-package Man page
GASFilter_multi Source code
GASFilter_univ Source code
GetFixedPar_Multi Source code
GetFixedPar_Uni Source code
HitSequence Source code
ICfun Source code
IM_Uni Man page Source code
IM_univ Source code
InferenceFun_Multi Source code
InferenceFun_Uni Source code
JarqueBera Source code
Kupiec Source code
LjungBox Source code
LogScore Man page Source code
LogScore,mGASFor-method Man page
LogScore,mGASRoll-method Man page
LogScore,uGASFor-method Man page
LogScore,uGASRoll-method Man page
LowerA Man page Source code
LowerB Man page Source code
LowerNu Man page Source code
MapParameters_multi Source code
MapParameters_univ Source code
MapR_C Man page Source code
Map_Vec Source code
MatrixCoefficientStructure_Multi Source code
MultiFixedCorrelation Source code
MultiFixedLocation Source code
MultiFixedScale Source code
MultiGASFit Man page Source code
MultiGASFor Man page Source code
MultiGASOptimiser Source code
MultiGASRoll Man page Source code
MultiGASSim Man page Source code
MultiGASSpec Man page Source code
MultiGAS_Starting Source code
MultiMapParameters Man page Source code
MultiUnmapParameters Man page Source code
NumberParameters Man page Source code
NumericalBounds Man page
PIT_test Man page Source code
PlotCovariances Source code
PlotForecastVsRealized_Multi Source code
PlotForecastVsRealized_Univ Source code
PlotMenu Man page Source code
PlotMultipleSeries Source code
PlotMultipleSeries_Bands Source code
PlotMultipleSeries_Bands_wis Source code
PlotMultipleSeries_wis Source code
PlotPit Source code
PlotSingleSeries Source code
QLoss Source code
Quantiles Man page Source code
RemoveFixedPar Source code
RhoNames Source code
Score_Multi Man page Source code
Score_Uni Man page Source code
Score_multi Source code
Score_univ Source code
SimulateGAS_multi Source code
SimulateGAS_univ Source code
StartingNu Source code
StartingValues_mvnorm Source code
StartingValues_mvt Source code
StaticLLK_Multi Source code
StaticLLK_Univ Source code
StaticLLKoptimizer_Multi Source code
StaticLLKoptimizer_Uni Source code
StaticMLFIT Source code
StaticMLFIT_Multiv Source code
StaticStarting_Multi Source code
StaticStarting_Uni Source code
StockIndices Man page
TypeOfParameters Source code
UnMapR_C Man page Source code
UniGASFit Man page Source code
UniGASFor Man page Source code
UniGASOptimiser Source code
UniGASRoll Man page Source code
UniGASSim Man page Source code
UniGASSpec Man page Source code
UniGAS_Starting Source code
UniMapParameters Man page Source code
UniUnmapParameters Man page Source code
UnmapParameters_multi Source code
UnmapParameters_univ Source code
UpperA Man page Source code
UpperB Man page Source code
UpperNu Man page Source code
build_mR Man page
build_vR Man page Source code
coef,mGASFit-method Man page
coef,mGASRoll-method Man page
coef,mGASSim-method Man page
coef,uGASFit-method Man page
coef,uGASRoll-method Man page
coef,uGASSim-method Man page
convergence Man page Source code
convergence,mGASFit-method Man page
convergence,uGASFit-method Man page
cpichg Man page
ddist_Multi Man page Source code
ddist_Uni Man page Source code
ddist_multi Source code
ddist_univ Source code
distributions Man page
dji30ret Man page
fn.solnp Man page Source code
getCoef Source code
getDist Source code
getFilteredParameters Man page Source code Source code
getFilteredParameters,mGASFit-method Man page
getFilteredParameters,mGASSim-method Man page
getFilteredParameters,uGASFit-method Man page
getFilteredParameters,uGASSim-method Man page
getForecast Man page Source code
getForecast,mGASFor-method Man page
getForecast,mGASRoll-method Man page
getForecast,uGASFor-method Man page
getForecast,uGASRoll-method Man page
getGASPar Source code
getIC Source code
getMoments Man page Source code Source code
getMoments,mGASFit-method Man page
getMoments,mGASFor-method Man page
getMoments,mGASRoll-method Man page
getMoments,mGASSim-method Man page
getMoments,uGASFit-method Man page
getMoments,uGASFor-method Man page
getMoments,uGASRoll-method Man page
getMoments,uGASSim-method Man page
getObs Man page Source code Source code
getObs,mGASFit-method Man page
getObs,mGASSim-method Man page
getObs,uGASFit-method Man page
getObs,uGASFor-method Man page
getObs,uGASRoll-method Man page
getObs,uGASSim-method Man page
getParNames Source code
getParNamesMulti Source code
getParNamesUni Source code
getQuantile Source code
getScalingType Source code
getSpec Source code
iidTest Source code
mGASFit Man page
mGASFit-class Man page
mGASFor Man page
mGASFor-class Man page
mGASMultiForcast Man page Source code
mGASRoll Man page
mGASRoll-class Man page
mGASSim Man page
mGASSim-class Man page
mGASSpec Man page
mGASSpec-class Man page
mWCRPS_backtest Source code
mdist_Uni Man page Source code
mdist_multi_cov Source code
mdist_multi_mean Source code
mdist_univ Source code
mvnormParNames Source code
mvtParNames Source code
pdist_Uni Man page Source code
pdist_univ Source code
pit Man page Source code
pit,uGASFit-method Man page
pit,uGASFor-method Man page
pit,uGASRoll-method Man page
plot Man page
plot,mGASFit,missing-method Man page
plot,mGASFor,missing-method Man page
plot,mGASRoll,missing-method Man page
plot,mGASSim,missing-method Man page
plot,uGASFit,missing-method Man page
plot,uGASFor,missing-method Man page
plot,uGASRoll,missing-method Man page
plot,uGASSim,missing-method Man page
qdist_Uni Man page Source code
qdist_univ Source code
quantile,uGASFit-method Man page
quantile,uGASFor-method Man page
quantile,uGASRoll-method Man page
quantile,uGASSim-method Man page
rdist_Multi Man page Source code
rdist_Uni Man page Source code
rdist_multi Source code
rdist_univ Source code
residuals Man page Source code
residuals,mGASFit-method Man page
residuals,mGASRoll-method Man page
residuals,uGASFit-method Man page
residuals,uGASRoll-method Man page
rmvnorm_mat Source code
rmvt_mat Man page
show,mGASFit-method Man page
show,mGASFor-method Man page
show,mGASRoll-method Man page
show,mGASSim-method Man page
show,mGASSpec-method Man page
show,uGASFit-method Man page
show,uGASFor-method Man page
show,uGASRoll-method Man page
show,uGASSim-method Man page
show,uGASSpec-method Man page
sp500ret Man page
sp500rv Man page
starting_mA_Multi_Scalars Source code
starting_mB_Multi_Scalars Source code
starting_vA_Multi Source code
starting_vA_Uni Source code
starting_vB_Multi Source code
starting_vB_Uni Source code
summary,mGASFit-method Man page
summary,uGASFit-method Man page
tqdata Man page
uGASFit Man page
uGASFit-class Man page
uGASFor Man page
uGASFor-class Man page
uGASMultiForcast Man page Source code
uGASRoll Man page
uGASRoll-class Man page
uGASSim Man page
uGASSim-class Man page
uGASSpec Man page
uGASSpec-class Man page
unmapVec_C Source code
usunp Man page
vPw2lPn_Multi Source code
vPw2lPn_Uni Source code
vPw2vPn_Multi Source code
vPw2vPn_Uni Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/AddNewDistribution.pdf
inst/doc/GAS_vignette_0.1.9.Rnw
inst/doc/GAS_vignette_0.1.9.pdf
inst/doc/AddNewDistribution.Rnw
inst/ExtensionTests
inst/ExtensionTests/run_Forecast.R
inst/ExtensionTests/run_Estimate.R
inst/ExtensionTests/run_SimulateGAS.R
inst/ExtensionTests/run_InformationMatrix.R
inst/ExtensionTests/run_Score.R
tests
tests/testthat.R
tests/testthat
tests/testthat/test_Simulate.R
src
src/GASInnovation.cpp
src/poi.h
src/Makevars
src/exp.cpp
src/Utils.h
src/std.h
src/GASInnovation.h
src/crps.cpp
src/ast.h
src/norm.h
src/snorm.cpp
src/ast.cpp
src/snorm2.cpp
src/Quantiles.cpp
src/sstd.h
src/snorm.h
src/Optimiser.cpp
src/ScoreWrap.cpp
src/sstd.cpp
src/Filters.cpp
src/mvnorm.cpp
src/ald.h
src/DistWrap.cpp
src/DistWrap.h
src/gamma.cpp
src/ScoreWrap.h
src/Mapping.h
src/Moments.cpp
src/ber.cpp
src/Density.cpp
src/Utils.cpp
src/SafeFun.cpp
src/IMWrap.cpp
src/PIT.cpp
src/IMWrap.h
src/Simulate.cpp
src/SafeFun.h
src/beta.h
src/std.cpp
src/Mapping.cpp
src/beta.cpp
src/mvnorm.h
src/ald.cpp
src/Makevars.win
src/Forecast.cpp
src/init.c
src/poi.cpp
src/RcppExports.cpp
src/gamma.h
src/mvt.h
src/ber.h
src/norm.cpp
src/exp.h
src/mvt.cpp
NAMESPACE
data
data/cpichg.rda
data/sp500ret.rda
data/StockIndices.rda
data/usunp.rda
data/tqdata.rda
data/dji30ret.rda
data/sp500rv.rda
R
R/Testing.R
R/Utils.R
R/ParameterConstraints.R
R/Extractors.R
R/Simulate.R
R/StartingValues.R
R/DistWrapper.R
R/ClassMethods.R
R/Inference.R
R/Figures.R
R/Distributions.R
R/ParameterTransformation.R
R/Estimate.R
R/RcppExports.R
R/ConfidenceBands.R
R/BackTest.R
R/Likelihood.R
R/GASspec.R
R/OptimiserWrapper.R
R/Forecast.R
R/ParNames.R
vignettes
vignettes/GAS_vignette_0.1.9.Rnw
vignettes/Figure1.pdf
vignettes/AddNewDistribution.Rnw
README.md
MD5
build
build/vignette.rds
build/partial.rdb
DESCRIPTION
ChangeLog
man
man/MultiMapParameters.Rd
man/mGASSpec-class.Rd
man/UniMapParameters.Rd
man/mGASFor-class.Rd
man/UniUnmapParameters.Rd
man/uGASFor-class.Rd
man/ConfidenceBands.Rd
man/MultiUnmapParameters.Rd
man/uGASSim-class.Rd
man/DistInfo.Rd
man/dji30ret.Rd
man/cpichg.Rd
man/mGASSim-class.Rd
man/uGASFit-class.Rd
man/mGASFit-class.Rd
man/usunp.Rd
man/uGASRoll-class.Rd
man/UniGASRoll.Rd
man/sp500ret.Rd
man/method-plot.Rd
man/MultiGASSim.Rd
man/BacktestDensity.Rd
man/MultiGASRoll.Rd
man/MultiGASFor.Rd
man/Bounds.Rd
man/tqdata.Rd
man/mGASRoll-class.Rd
man/fn.solnp.Rd
man/StockIndices.Rd
man/BacktestVaR.Rd
man/Distributions.Rd
man/UniGASSim.Rd
man/MultiGASSpec.Rd
man/MultiGASFit.Rd
man/GAS-package.Rd
man/UniGASFor.Rd
man/uGASSpec-class.Rd
man/UniGASFit.Rd
man/sp500rv.Rd
man/UniGASSpec.Rd
man/PIT_test.Rd
GAS documentation built on May 20, 2017, 2:24 a.m.