uGASFit-class: Class for the univariate GAS fitted object

In GAS: Generalized Autoregressive Score Models

Class for the univariate GAS fitted object

Description

Class for the univariate GAS fitted object.

Objects from the Class

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

Slots

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.

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)

.

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.

Data:

The user's data.

Testing:

Statistical tests results.

Methods

• show signature(object = 'uGASFit'): print object information.

• summary signature(object = 'uGASFit'): Show summary.

• plot signature(x = 'uGASFit',y = 'missing'): Plot filtered dynamic and other estimated quantities.

• getFilteredParameters signature(object = 'uGASFit'): Extract filtered parameters.

• getObs signature(object = 'uGASFit'): 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.

• pit signature(object = 'uGASFit'): Extract Probability Integral Transformation.

• getMoments signature(object = 'uGASFit'): Extract conditional moments.

• residuals signature(object = 'uGASFit'): Extract the residuals. Also accepts the additional logical argument standardize. If standardize = TRUE, residuals are standardized by the filtered standard deviation. By default standardize = FALSE.

• convergence signature(object = 'uGASFit'): Extract convergence information.

• quantile signature(object = 'uGASSim'): Compute quantiles of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

• ES signature(object = 'uGASSim'): Compute Expected Shortfall of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

Author(s)

Leopoldo Catania

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