condmomentPlot: DEPRECATED, USE 'cond_moment_plot' INSTEAD! Conditional mean...

In uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

DEPRECATED, USE cond_moment_plot INSTEAD! Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models

Description

condmomentPlot plots the one-step in-sample conditional means/variances of the model along with the time series contained in the model (e.g. the time series the model was fitted to). Also plots the regimewise conditional means/variances multiplied with the mixing weights. DEPRECATED, USE cond_moment_plot INSTEAD!

Usage

condmomentPlot(gsmar, which_moment = c("mean", "variance"))

Arguments

gsmar	a class 'gsmar' object, typically generated by fitGSMAR or GSMAR.
which_moment	should conditional means or variances be plotted?

Details

DEPRECATED, USE cond_moment_plot INSTEAD!

Value

cond_moment_plot only plots to a graphical device and does not return anything. Numerical values of the conditional means/variances can be extracted from the model with the dollar sign.

References

• Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11, 63-71.

• Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15, 358-393.

• Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36(2), 247-266.

• Meitz M., Preve D., Saikkonen P. 2023. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, 52(2), 499-515.

• Virolainen S. 2022. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, 26(4) 559-580.

See Also

profile_logliks, diagnostic_plot, fitGSMAR, GSMAR, quantile_residual_tests, quantileResidualPlot

uGMAR documentation built on Aug. 19, 2023, 5:10 p.m.