mGASFit-class: Class for the Multivariate GAS fitted object

In GAS: Generalized Autoregressive Score Models

Description

Class for the multivariate GAS fitted object.

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

Data:

Object of class list. Contains the user's data.

Estimates:

Object of class list. Contains: lParList list of estimated parameters, optimiser object delivered from the optimization function, StaticFit ML estimates for the constant model, Inference inferential results for the estimated parameters.

GASDyn:

Object of class list. Contains: the series of filtered dynamic (GASDyn$mTheta) for the time–varying parameters, the series of scaled scores (GASDyn$mInnovation), the series of unrestricted filtered parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the log likelihood evaluated at its optimum value (GASDyn$dLLK)

ModelInfo:

Object of class list. Contains information about the GAS specification:

• Spec Object of the class uGASSpec containing the GAS specification.

• iT numeric Number of observation.

• elapsedTime Numeric elapsed time in seconds.

Methods

• show signature(object = 'mGASFit'): print object information.

• summary signature(object = 'mGASFit'): Show summary.

• plot signature(x='mGASFit', y='missing'): Plot filtered dynamic and other estimated quantities.

• getFilteredParameters signature(object = "mGASFit"): Extract filtered parameters.

• getObs signature(object = "mGASFit"): Extract original observations.

• coef signature(object = 'uGASFit'): Returns a named vector of estimated coefficients. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list with arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.

• getMoments signature(object = "mGASFit"): Extract conditional moments.

• residuals signature(object = 'mGASFit'): Extract the residuals. Also accepts the additional logical argument standardize. If standardize = TRUE, residuals are standardized by cholesky of the filtered covariance matrix. By default standardize = FALSE.

• convergence signature(object = 'mGASFit'): Extract convergence information.

Author(s)

Leopoldo Catania

GAS documentation built on Feb. 4, 2022, 5:12 p.m.