tsaggregate.tsmarch: Weighted Moments Aggregation

In tsmarch: Multivariate ARCH Models

Weighted Moments Aggregation

Description

Calculates and returns the weighted moments of the estimated, simulated or predicted object.

Usage

## S3 method for class 'cgarch.estimate'
tsaggregate(object, weights = NULL, ...)

## S3 method for class 'cgarch.simulate'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

## S3 method for class 'cgarch.predict'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

## S3 method for class 'dcc.estimate'
tsaggregate(object, weights = NULL, ...)

## S3 method for class 'dcc.simulate'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

## S3 method for class 'dcc.predict'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

## S3 method for class 'gogarch.estimate'
tsaggregate(object, weights = NULL, ...)

## S3 method for class 'gogarch.predict'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

## S3 method for class 'gogarch.simulate'
tsaggregate(object, weights = NULL, distribution = TRUE, ...)

Arguments

object	an object of one of the model classes in the package.
weights	an optional weighting vector. If NULL will use an equal weight vector. It is also possible to pass a time varying weighting matrix with time along the row dimension and equal to the number of time points or horizon.
...	not currently used.
distribution	for the predicted and simulated objects whether to return the simulated distribution of the weighted moments else the average.

Value

A list with the weighted moments. For an estimated object class these will be xts vectors whilst for the simulated and predicted class these will be objects of class “tsmodel.distribution” capturing the distributional uncertainty and for which a default plot method exists, unless argument “distribution” is set to FALSE.

tsmarch documentation built on April 3, 2025, 7:40 p.m.