MixARgen-class | R Documentation |
"MixARgen"
A class for MixAR models with arbitrary noise distributions. "MixARgen"
inherits from "MixAR"
.
Objects can be created by calls of the form new("MixARgen",
dist, ...)
or mixARgen(...)
. The two forms are completely
equivalent. The latter is available from version 0.19-15 of package
MixAR.
Most slots are inherited from class "MixAR"
.
prob
:the mixing probabilities, "numeric"
.
order
:the AR orders, "numeric"
.
shift
:intercept terms, "numeric"
.
scale
:scaling factor, "numeric"
.
arcoef
:autoregressive coefficients, an object from class
"raggedCoef"
containing one row for each mixture component.
dist
:Object of class "list"
, representing the
noise distributions. The list contains one element for each
component of the MixAR model or a single element if the
noise distribution is the same for all components.
If the distributions do not contain parameters (e.g. Gaussian or
t_4) it is sufficient to give the list of functions in the
element dist
of the list.
If the distributions do contain parameters the recommended
arrangement is to give a list with components generator
and
param
, such that a call generator(param)
should
produce the required list of distributions.
This is not finalised but if changed, backward compatibility with existing objects will be maintained.
Class "MixAR"
, directly.
signature(model = "MixARgen")
: ...
signature(.Object = "MixARgen")
: ...
signature(model = "MixARgen")
: ...
signature(model = "MixARgen", x = "missing", index = "missing", xcond = "numeric")
: ...
signature(model = "MixARgen", x = "numeric", index = "missing", xcond = "numeric")
: ...
signature(model = "MixARgen", x = "numeric", index = "numeric", xcond = "missing")
: ...
signature(model = "MixARgen", x = "missing", index = "missing", xcond = "numeric")
: ...
signature(model = "MixARgen", x = "numeric", index = "missing", xcond = "numeric")
: ...
signature(model = "MixARgen", x = "numeric", index = "numeric", xcond = "missing")
: ...
signature(model = "MixARgen")
: ...
signature(model = "MixARgen")
: ...
signature(model = "MixARgen")
: ...
showClass("MixARgen") exampleModels$WL_ibm_gen@dist noise_dist(exampleModels$WL_ibm_gen, "cdf") noise_dist(exampleModels$WL_ibm_gen, "pdf") noise_dist(exampleModels$WL_ibm_gen, "pdf", expand = TRUE) noise_dist(exampleModels$WL_ibm_gen, "cdf", expand = TRUE) ## data(ibmclose, package = "fma") # for `ibmclose' pdf1 <- mix_pdf(exampleModels$WL_ibm, xcond = as.numeric(fma::ibmclose)) cdf1 <- mix_cdf(exampleModels$WL_ibm, xcond = as.numeric(fma::ibmclose)) gbutils::plotpdf(pdf1, cdf = cdf1, lq = 0.001, uq = 0.999) pdf1gen <- mix_pdf(exampleModels$WL_ibm_gen, xcond = as.numeric(fma::ibmclose)) cdf1gen <- mix_cdf(exampleModels$WL_ibm_gen, xcond = as.numeric(fma::ibmclose)) gbutils::plotpdf(pdf1gen, cdf = cdf1gen, lq = 0.001, uq = 0.999) length(fma::ibmclose) cdf1gena <- mix_cdf(exampleModels$WL_ibm_gen, xcond = as.numeric(fma::ibmclose)[-(369:369)]) pdf1gena <- mix_pdf(exampleModels$WL_ibm_gen, xcond = as.numeric(fma::ibmclose)[-(369:369)]) gbutils::plotpdf(pdf1gena, cdf = cdf1gena, lq = 0.001, uq = 0.999) pdf1a <- mix_pdf(exampleModels$WL_ibm, xcond = as.numeric(fma::ibmclose)[-(369:369)]) cdf1a <- mix_cdf(exampleModels$WL_ibm, xcond = as.numeric(fma::ibmclose)[-(369:369)]) gbutils::plotpdf(pdf1a, cdf = cdf1a, lq = 0.001, uq = 0.999) cdf1gena <- mix_cdf(exampleModels$WL_ibm_gen, xcond = as.numeric(fma::ibmclose)[-(369:369)]) cond_loglik(exampleModels$WL_ibm, as.numeric(fma::ibmclose)) cond_loglik(exampleModels$WL_ibm_gen, as.numeric(fma::ibmclose)) ts1gen <- mixAR_sim(exampleModels$WL_ibm_gen, n = 30, init = c(346, 352, 357), nskip = 0) plot(ts1gen) plot(mixAR_sim(exampleModels$WL_ibm_gen, n = 100, init = c(346, 352, 357), nskip = 0), type = "l") plot(diff(mixAR_sim(exampleModels$WL_ibm_gen, n = 100, init = c(346, 352, 357), nskip = 0)), type = "l") noise_dist(exampleModels$WL_ibm_gen, "Fscore") prob <- exampleModels$WL_ibm@prob scale <- exampleModels$WL_ibm@scale arcoef <- exampleModels$WL_ibm@arcoef@a mo_WLt3 <- new("MixARgen", prob = prob, scale = scale, arcoef = arcoef, dist = list(fdist_stdt(3))) mo_WLt30 <- new("MixARgen", prob = prob, scale = scale, arcoef = arcoef, dist = list(fdist_stdt(30)))
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