mGASFit-class: Class for the Multivariate GAS fitted object

Description Objects from the Class Slots Methods Author(s)

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

Author(s)

Leopoldo Catania


GAS documentation built on April 28, 2020, 1:08 a.m.