Description Objects from the Class Slots Methods Author(s)
Class for the multivariate GAS fitted object.
A virtual Class: No objects may be created from it.
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$mTheta
)
for the timeâ€“varying parameters, the series of scaled scores (GASDyn$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.
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.
Leopoldo Catania
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