R/RcppExports.R

In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models

# Generated by using Rcpp::compileAttributes() -> do not edit by hand
# Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393

svpCpp_nolev <- function(u, p, J, del, wDecay = FALSE) {
    .Call(`_wARMASVp_svpCpp_nolev`, u, p, J, del, wDecay)
}

solve_lyapunov_discrete_cpp <- function(F_mat, Q) {
    .Call(`_wARMASVp_solve_lyapunov_discrete_cpp`, F_mat, Q)
}

kalman_filter_cpp <- function(y_star, y_raw, phi, sigma_y, sigma_v, delta_p, sig_eps2, var_zt, P0, dist_code = 0L, nu = 0.0, proxy_type = 0L) {
    .Call(`_wARMASVp_kalman_filter_cpp`, y_star, y_raw, phi, sigma_y, sigma_v, delta_p, sig_eps2, var_zt, P0, dist_code, nu, proxy_type)
}

gmkf_filter_cpp <- function(y_star, y_raw, phi, sigma_y, sigma_v, delta_p, var_zt, mix_weights, mix_means, mix_vars, mu_intercept, P0, dist_code = 0L, nu = 0.0, proxy_type = 0L) {
    .Call(`_wARMASVp_gmkf_filter_cpp`, y_star, y_raw, phi, sigma_y, sigma_v, delta_p, var_zt, mix_weights, mix_means, mix_vars, mu_intercept, P0, dist_code, nu, proxy_type)
}

fit_ksc_em_cpp <- function(eps, init_m, init_s2, init_q, max_iter = 500L, tol = 1e-8) {
    .Call(`_wARMASVp_fit_ksc_em_cpp`, eps, init_m, init_s2, init_q, max_iter, tol)
}

LRT_moment_lev_svp_cpp <- function(y, mdl_out, Amat, rho_type, del = 1e-10) {
    .Call(`_wARMASVp_LRT_moment_lev_svp_cpp`, y, mdl_out, Amat, rho_type, del)
}

LRT_moment_lev_t_cpp <- function(y, mdl_out, Amat, rho_type, del = 1e-10) {
    .Call(`_wARMASVp_LRT_moment_lev_t_cpp`, y, mdl_out, Amat, rho_type, del)
}

LRT_moment_lev_ged_cpp <- function(y, mdl_out, Amat, rho_type, del, gh_nodes, gh_weights) {
    .Call(`_wARMASVp_LRT_moment_lev_ged_cpp`, y, mdl_out, Amat, rho_type, del, gh_nodes, gh_weights)
}

LRT_moment_t_cpp <- function(y, mdl_out, Amat, WAmat = FALSE, del = 1e-10, Bartlett = TRUE, pinv_fn = NULL) {
    .Call(`_wARMASVp_LRT_moment_t_cpp`, y, mdl_out, Amat, WAmat, del, Bartlett, pinv_fn)
}

LRT_moment_ged_cpp <- function(y, mdl_out, Amat, WAmat = FALSE, del = 1e-10, Bartlett = TRUE, pinv_fn = NULL) {
    .Call(`_wARMASVp_LRT_moment_ged_cpp`, y, mdl_out, Amat, WAmat, del, Bartlett, pinv_fn)
}

LRT_moment_lev_svp_Amat_cpp <- function(y, mdl_out, rho_type, del = 1e-10, Bartlett = TRUE, pinv_fn = NULL) {
    .Call(`_wARMASVp_LRT_moment_lev_svp_Amat_cpp`, y, mdl_out, rho_type, del, Bartlett, pinv_fn)
}

LRT_moment_ar_Amat_cpp <- function(y, mdl_out, del = 1e-10, Bartlett = TRUE, pinv_fn = NULL) {
    .Call(`_wARMASVp_LRT_moment_ar_Amat_cpp`, y, mdl_out, del, Bartlett, pinv_fn)
}

LRT_moment_lev_t_Amat_cpp <- function(y, mdl_out, rho_type, del = 1e-10, Bartlett = TRUE, pinv_fn = NULL) {
    .Call(`_wARMASVp_LRT_moment_lev_t_Amat_cpp`, y, mdl_out, rho_type, del, Bartlett, pinv_fn)
}

LRT_moment_lev_ged_Amat_cpp <- function(y, mdl_out, rho_type, del, Bartlett, pinv_fn, gh_nodes, gh_weights) {
    .Call(`_wARMASVp_LRT_moment_lev_ged_Amat_cpp`, y, mdl_out, rho_type, del, Bartlett, pinv_fn, gh_nodes, gh_weights)
}

particle_filter_svp_cpp <- function(y_raw, phi, sigma_y, sigma_v, nu, dist_code, delta, M, seed, del) {
    .Call(`_wARMASVp_particle_filter_svp_cpp`, y_raw, phi, sigma_y, sigma_v, nu, dist_code, delta, M, seed, del)
}

find_nu_t_cpp <- function(se2b, nu_lower = 2.01, nu_upper = 500.0, logNu = FALSE, tol = 1e-6, maxiter = 1000L) {
    .Call(`_wARMASVp_find_nu_t_cpp`, se2b, nu_lower, nu_upper, logNu, tol, maxiter)
}

find_nu_ged_cpp <- function(se2, lower, upper, tol = 1e-6, maxiter = 1000L) {
    .Call(`_wARMASVp_find_nu_ged_cpp`, se2, lower, upper, tol, maxiter)
}

find_delta_ged_cpp <- function(target, sigv, nu, gh_nodes, gh_weights, tol = 1e-8) {
    .Call(`_wARMASVp_find_delta_ged_cpp`, target, sigv, nu, gh_nodes, gh_weights, tol)
}

sim_from_innov_gaussian_cpp <- function(phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_gaussian_cpp`, phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin)
}

sim_from_innov_gaussian_lev_cpp <- function(phi, sigma_y, sigma_v, rho, zeta_vec, aux_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_gaussian_lev_cpp`, phi, sigma_y, sigma_v, rho, zeta_vec, aux_vec, p, T_out, burnin)
}

sim_from_innov_t_cpp <- function(phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_t_cpp`, phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin)
}

sim_from_innov_ged_cpp <- function(phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_ged_cpp`, phi, sigma_y, sigma_v, eta_vec, eps_vec, p, T_out, burnin)
}

sim_from_innov_t_lev_cpp <- function(phi, sigma_y, sigma_v, nu, rho, zeta_vec, aux_vec, U_chi2_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_t_lev_cpp`, phi, sigma_y, sigma_v, nu, rho, zeta_vec, aux_vec, U_chi2_vec, p, T_out, burnin)
}

sim_from_innov_ged_lev_cpp <- function(phi, sigma_y, sigma_v, nu, rho, zeta_vec, aux_vec, p, T_out, burnin) {
    .Call(`_wARMASVp_sim_from_innov_ged_lev_cpp`, phi, sigma_y, sigma_v, nu, rho, zeta_vec, aux_vec, p, T_out, burnin)
}

sim_svp_norm_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_svp_norm_cpp`, beta, p, N, burnin)
}

sim_svp_leverage_norm_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_svp_leverage_norm_cpp`, beta, p, N, burnin)
}

sim_sv_t_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_sv_t_cpp`, beta, p, N, burnin)
}

sim_sv_ged_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_sv_ged_cpp`, beta, p, N, burnin)
}

sim_svp_leverage_t_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_svp_leverage_t_cpp`, beta, p, N, burnin)
}

sim_svp_leverage_ged_cpp <- function(beta, p, N, burnin) {
    .Call(`_wARMASVp_sim_svp_leverage_ged_cpp`, beta, p, N, burnin)
}

kendall_corr <- function(x, y) {
    .Call(`_wARMASVp_kendall_corr`, x, y)
}

rged_cpp <- function(n, mean = 0.0, sd = 1.0, nu = 2.0) {
    .Call(`_wARMASVp_rged_cpp`, n, mean, sd, nu)
}