uGASRoll-class: Class for the univariate GAS rolling object

In LeopoldoCatania/GAS: Generalized Autoregressive Score Models

Description

Class for the univariate GAS rolling object.

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

Forecast:

Object of class list. Contains forecasts:

• PointForecast: matrix with parameters forecasts.

• Moments: matrix with centered moments forecasts.

• vLS: numeric Log Score (Predictive Log Likelihood).

• vU: numeric Out-of-sample Probability Integral Transformation (PIT).

Info:

list with forecast information.

Data:

list with original data.

Testing:

Statistical tests results.

Methods

• show signature(object = 'uGASRoll'): Show summary.

• plot signature(x = 'uGASRoll', y = 'missing'): Plot forecasted quantities.

• getForecast signature(object = 'uGASRoll'): Extract parameters forecast.

• getObs signature(object = 'uGASRoll'): Extract original observations.

• pit signature(object = 'uGASRoll'): Extract Probability Integral Transformation, only if Roll = TRUE

• quantile signature(object = 'uGASRoll'): Extract quantile forecasts. It accepts the addional argument probs representing the vector of probabilities.

• ES signature(object = 'uGASRoll'): Extract Expected Shortfall forecasts. It accepts the addional argument probs representing the vector of probabilities.

• getMoments signature(object = 'uGASRoll'): Extract moments forecasts.

• LogScore signature(object = 'uGASRoll'): Extract Log Scores.

• residuals signature(object = 'uGASRoll'): Extract the forecast errors. Also accepts the additional logical argument standardize. If standardize = TRUE, forecast errors are standardized by the forecast standard deviation. By default standardize = FALSE.

• coef signature(object = 'uGASFit'): Returns a matrix of estimated coefficients. Each row of the matrix corresponds to a refit of the model during the forecast period according to the RefitEvery argument provided in the UniGASRoll function. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list of lists according according to the RefitEvery argument provided in the UniGASRoll function. Each list is populated by three arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.

Author(s)

Leopoldo Catania

LeopoldoCatania/GAS documentation built on April 27, 2020, 1:43 a.m.