Man pages for wARMASVp
Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models
| companionMat | Construct Companion Matrix for AR(p) Process |
| correction_factor_ged_approx | Approximate correction factor C_g(nu) for GED leverage... |
| correction_factor_t | Correction factor C_t(nu) for Student-t leverage estimation |
| density_eps_ged | Density of Centered log-GED^2 Measurement Noise |
| density_eps_t | Density of Centered log-F(1,nu) Measurement Noise (Student-t) |
| dot-add_leverage | Add leverage estimation to a fitted SV(p) model... |
| dot-compute_EH | Compute EH cross-moment for leverage estimation |
| dot-gauss_hermite_normal | Gauss-Hermite quadrature nodes and weights for N(0,1)... |
| dot-get_gh | Get cached Gauss-Hermite nodes/weights for N(0,1) |
| filter_svp | Filter Latent Volatility from an Estimated SV(p) Model |
| fit_ksc_mixture | Fit K-Component Gaussian Mixture to Measurement Noise Density |
| forecast_svp | Multi-Step Ahead Volatility Forecast |
| ged_E_abs_u | E[|u|] for standardized GED(nu) with Var = 1 Closed form:... |
| lmc_ar | LMC Test for AR Order in SV(p) Models |
| lmc_ged | LMC Test for GED Shape Parameter |
| lmc_lev | LMC Test for Leverage in SV(p) Models |
| lmc_t | LMC Test for Student-t Tail Parameter |
| LRT_moment_lev_ged | GMM moments for SVL(p)-GED with fixed A matrix (p+4... |
| LRT_moment_lev_ged_Amat | GMM moments for SVL(p)-GED with HAC weighting (p+4... |
| LRT_moment_lev_t | GMM moments for SVL(p)-Student-t with fixed A matrix (p+4... |
| LRT_moment_lev_t_Amat | GMM moments for SVL(p)-Student-t with HAC weighting (p+4... |
| mmc_ar | MMC Test for AR Order in SV(p) Models |
| mmc_ged | MMC Test for GED Shape Parameter |
| mmc_lev | MMC Test for Leverage in SV(p) Models |
| mmc_t | MMC Test for Student-t Tail Parameter |
| pged_std | CDF of Standardized GED |
| qged_std | Quantile function for standardized GED(nu) with Var = 1 Uses... |
| sim_svp | Simulate from a Stochastic Volatility Model |
| solve_lyapunov_discrete | Solve Discrete Lyapunov Equation |
| svp | Estimate a Stochastic Volatility Model |
| svp_AR_order | AR-order selection sweep for SV(p) |
| svp_IC | Information criteria for SV(p) AR-order selection |
| svpSE | Simulation-Based Standard Errors for SV(p) Models |
| wARMASVp-package | wARMASVp: Winsorized ARMA Estimation for Higher-Order... |
