uGASSim-class: Class for Univariate GAS Simulation

Description Objects from the Class Slots Methods Author(s)

Description

Class for Univariate 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 univariate GAS specification:

  • iT numeric Time length of simulated observations.

  • iK numeric Number of (possibly) time-varying parameters implied by the distributional assumption.

  • vKappa numeric Vector of unconditional level for the reparametrised 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 numeric. Vector of length iT of simulated data.

Methods

Author(s)

Leopoldo Catania


GAS documentation built on April 28, 2020, 1:08 a.m.