mGASSim-class: Class for Multivariate GAS Simulation

In GAS: Generalized Autoregressive Score Models

Class for Multivariate GAS Simulation

Description

Class for multivariate GAS model simulation.

Objects from the Class

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

Slots

ModelInfo:

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

• iT: numeric Time length of simulated observations.

• iN: numeric Cross sectional dimension.

• iK : numeric number of (possibly) time–varying parameters implied by the distributional assumption.

• vKappa numeric vector of unconditional level for the reparametrized vector of parameters.

• mA matrix of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.

• mB matrix of autoregressive coefficients of dimension iK x iK.

• Dist character label of the conditional distribution, see DistInfo

• ScalingType character representing the scaling mechanism for the conditional score, see DistInfo

GASDyn:

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

Data:

Object of class matrix. Matrix of dimension iN x iT of simulated data

Methods

• show signature(object = 'mGASSim'): Show summary.

• plot signature(x = 'mGASSim',y = 'missing'): Plot simulated data and parameters.

• getFilteredParameters signature(object = 'mGASSim'): Extract simulated parameters.

• getObs signature(object = 'mGASSim'): Extract simulated observations

• coef signature(object = 'mGASSim'): Extract delivered coefficients

• getMoments signature(object = 'uGASFor'): Extract simulated moments.

Author(s)

Leopoldo Catania

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