uGASSpec-class: Class for the univariate GAS model specification

In GAS: Generalized Autoregressive Score Models

Description

Class for the univariate 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 about the univariate GAS specification:

• Dist: character containing the conditional distribution assumption.

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

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

• GASPar list with elements: location, scale, skewness, shape, shape2.

Methods

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

Author(s)

Leopoldo Catania

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