Man pages for gmvarkit
Estimate Gaussian Mixture Vector Autoregressive Model

aa_gmvarkitgmvarkit: Estimate Gaussian Mixture Vector Autoregressive...
add_dataAdd data to object of class 'gmvar' defining a GMVAR model
all_pos_intsCheck whether all arguments are positive scalar whole numbers
calc_gradientCalculate gradient or Hessian matrix
change_parametrizationChange parametrization of the parameter vector
change_regimeChange regime parameters *upsilon_{m}* =...
check_constraintsCheck the constraint matrix has the correct form
check_dataCheck the data is in the correct form
check_gmvarChecks whether the given object has class attribute "gmvar"
check_null_dataChecks whether the given object contains data or not
check_parametersCheck that the given parameter vector satisfies model...
check_pMdCheck that p, M and d are correctly set
diagnostic_plotQuantile residual diagnostic plot for GMVAR model
dlogmultinormCalculate logarithms of multiple multivariate normal...
eurusdEuro area and U.S. long-term government bond yields and...
fitGMVARTwo-phase maximum likelihood estimation of GMVAR model
format_valuefFunction factory for value formatting
form_boldAForm the ((dp)x(dp)) "bold A" matrices related to the VAR...
GAfitGenetic algorithm for preliminary estimation of GMVAR model
get_boldA_eigensCalculate absolute values of the eigenvalues of the "bold A"...
get_ICCalculate AIC, HQIC and BIC
get_regime_meansCalculate and return regime means mu_{m}
get_regime_means_intCalculate and return regime means mu_{m}
get_test_OmegaCompute covariance matrix Omega used in quantile residual...
GMVARCreate object of class 'gmvar' defining a GMVAR model
in_paramspaceDetermine whether the parameter vector lies in the parameter...
in_paramspace_intDetermine whether the parameter vector lies in the parameter...
is_stationaryCheck the stationary condition of given GMVAR model
iterate_moreMaximum likelihood estimation of GMVAR model with preliminary...
loglikelihoodCompute log-likelihood of GMVAR model using parameter vector
loglikelihood_intCompute the log-likelihood of Gaussian Mixture Vector...
n_paramsCalculate the number of parameters in GMVAR model parameter...
pick_allAPick coefficient all matrices
pick_all_phi0_APick all phi_{m,0} or mu_{m} and A_{m} parameter values from...
pick_alphasPick mixing weight parameters alpha_{m}, m=1,...,M from the...
pick_AmPick coefficient matrices
pick_AmiPick coefficient matrix
pick_OmegasPick covariance matrices
pick_phi0Pick phi_{m,0} or mu_{m}, m=1,..,M vectors from the given...
pick_regimePick regime parameters *upsilon_{m}* =...
plot.gmvarpredplot method for class 'gmvarpred' objects
predict.gmvarPredict method for class 'gmvar' objects
print.gmvarpredprint method for class 'gmvarpred' objects
print.gmvarsumSummary print method from objects of class 'gmvarsum'
print_std_errorsPrint standard errors of GMVAR model in the same form as the...
quantile_residualsCalculate multivariate quantile residuals of GMVAR model
quantile_residuals_intCalculate multivariate quantile residuals of GMVAR model
quantile_residual_testsQuantile residual tests
random_coefmatsCreate random VAR-model (dxd) coefficient matrices A.
random_coefmats2Create somewhat random stationary VAR model (dxd) coefficient...
random_covmatCreate somewhat random VAR model error term covariance matrix
random_indCreate somewhat random mean-parametrized parameter vector of...
random_ind2Create somewhat random parameter vector of GMVAR model that...
reform_constrained_parsReform constrained parameter vector into the "standard" form
reform_dataReform data
regime_distanceCalculate "distance" between two (scaled) regimes...
simulateGMVARSimulate from GMVAR process
smart_covmatCreate somewhat random VAR-model (dxd) error term covariance...
smart_indCreate somewhat random parameter vector of GMVAR model fairly...
sort_componentsSort components in parameter vector by mixing weights into a...
standard_errorsCalculate standard errors for estimates of GMVAR model
swap_parametrizationSwap the parametrization of object of class 'gmvar' defining...
unvecReverse vectorization operator.
unvechReverse operator of the parsimonious vectorization operator...
vecVectorization operator.
vechParsimonious vectorization operator for symmetric matrices.
gmvarkit documentation built on Sept. 22, 2018, 5:03 p.m.