UniMapParameters: Mapping function for univariate distributions

In GAS: Generalized Autoregressive Score Models

Mapping function for univariate distributions

Description

Map unrestricted vector of parameters into the proper space. This function transforms the parameters updated using the GAS recursion into their proper space.

Usage

UniMapParameters(Theta_tilde, Dist)

Arguments

Theta_tilde	numeric Vector of reparametrised parameters, see Details.
Dist	character Label of the conditional distribution, see DistInfo.

Details

The order of the parameters is generally: location, scale, skewness, shape, shape2. 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

# Map unrestricted parameters for the Student-t distribution.
library("GAS")

Dist = "std"

# Vector of unconditional reparametrised parameters such that,
# Theta = c(0, 1.5 ,7), i.e., location = 0, scale = 1.5,
# degrees of freedom = 7.

# LowerNu() prints the lower bound numerical parameter for the degree
# of freedom, see help(LowerNu).

Theta_tilde = c(0.1, log(1.5), log(7 - LowerNu()))

Theta = UniMapParameters(Theta_tilde, Dist)

Theta

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