MultiUnmapParameters: Inverse of MultiMapParameters
In LeopoldoCatania/GAS: Generalized Autoregressive Score Models

Description Usage Arguments Details Value Author(s) Examples

View source: R/ParameterTransformation.R

Transform distribution parameters into the unrestricted parameters. The unrestricted vector of parameters is updated using the GAS recursion.

1	MultiUnmapParameters(Theta, Dist, N)

Theta

numeric Vector parameters, see Details.

Dist

character Label of the conditional distribution, see DistInfo.

`N`	`numeric` Cross sectional dimension. Note that only `iN<5` is supported.

The order of the parameters is generally: locations, scales, correlations, shape. When the distribution defined by Dist does not have, say, the shape parameter, this should be simply omitted. See also DistInfo for specific distributions.

A numeric vector of parameters.

Leopoldo Catania

# Unmap parameters for the Multivariate Student-t distribution with N=3
library(GAS)

N = 3

Dist = "mvt"

# Vector of location parameters (this is not transformed).
Mu  = c(0.1, 0.2, 0.3)

# Vector of scales parameters for the firs, second and third variables.
Phi = c(1.0, 1.2, 0.3)

# This represents vec(R), where R is the correlation matrix.
# Note that is up to the user to ensure that vec(R) implies a proper correlation matrix
Rho = c(0.1, 0.2, 0.3)

# Vector of parameters such that the degrees of freedom are 7.
Theta = c(Mu, Phi, Rho, 7)

Theta_tilde = MultiUnmapParameters(Theta, Dist, N)

Theta_tilde

# It works
all(abs(MultiMapParameters(Theta_tilde, Dist, N) - Theta) < 1e-16)