MultiUnmapParameters: Inverse of MultiMapParameters

In GAS: Generalized Autoregressive Score Models

Inverse of MultiMapParameters

Description

Transform distribution parameters into the unrestricted parameters. The unrestricted vector of parameters is updated using the GAS recursion.

Usage

MultiUnmapParameters(Theta, Dist, N)

Arguments

Theta	numeric Vector parameters, see Details.
Dist	character Label of the conditional distribution, see DistInfo.
N	numeric Cross sectional dimension. Note that only iN<5 is supported.

Details

The order of the parameters is generally: locations, scales, correlations, shape. When the distribution defined by Dist does not have, say, the shape parameter, this should be simply omitted. See also DistInfo for specific distributions.

Value

A numeric vector of parameters.

Author(s)

Leopoldo Catania

Examples

# Unmap parameters for the Multivariate Student-t distribution with N=3
library(GAS)

N = 3

Dist = "mvt"

# Vector of location parameters (this is not transformed).
Mu  = c(0.1, 0.2, 0.3)

# Vector of scales parameters for the firs, second and third variables.
Phi = c(1.0, 1.2, 0.3)

# This represents vec(R), where R is the correlation matrix.
# Note that is up to the user to ensure that vec(R) implies a proper correlation matrix
Rho = c(0.1, 0.2, 0.3)

# Vector of parameters such that the degrees of freedom are 7.
Theta = c(Mu, Phi, Rho, 7)

Theta_tilde = MultiUnmapParameters(Theta, Dist, N)

Theta_tilde

# It works
all(abs(MultiMapParameters(Theta_tilde, Dist, N) - Theta) < 1e-16)

GAS documentation built on Sept. 11, 2024, 8:13 p.m.