mGASFor-class: Class for the Multivariate GAS Forecast object

In GAS: Generalized Autoregressive Score Models

Description

Class for the multivariate GAS forecast object.

Objects from the Class

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

Slots

Forecast:

Object of class list. Contains forecasts:

• PointForecast: matrix with parameters forecasts.

• Moments: list with centered moments forecasts. The first element contains a matrix with the predicted conditional means. The second element contains an array with the predicted conditional covariances.

• vLS: numeric Log Score (Predictive Log Likelihood).

Bands:

array with confidence bands parameters forecasts. Available only if Roll = TRUE.

Draws:

If ReturnsDraws = TRUE it is a iH x iB matrix of draws from the predictive distribution.

Info:

list with forecast information.

Data:

list with original data.

Methods

• show signature(object = "uGASFor"): Show summary.

• plot signature(x='uGASFor',y='missing'): Plot forecasted quantities.

• getForecast signature(object = "uGASFor"): Extract parameters forecast.

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

• getMoments signature(object = "uGASFor"): Extract moments forecasts.

• LogScore signature(object = "uGASFor"): Extract Log Scores.

Author(s)

Leopoldo Catania

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