mGASSpec-class: Class for the Multivariate GAS model specification

In GAS: Generalized Autoregressive Score Models

Class for the Multivariate GAS model specification

Description

Class for the Multivariate GAS model specification.

Objects from the Class

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

Slots

Spec:

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

• Dist: character Containing the conditional distribution assumption.

• ScalingType: character indicating the scaling mechanism for the conditional score.

• GASPar: list with elements: location, scale, correlation, shape.

• ScalarParameters: logical indicates if the parameters of the locations, scales and correlations dynamic have to be scalars or a diagonal matrices.

Methods

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

Author(s)

Leopoldo Catania

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