acdfit: Model Estimation

In TrungLeVn/SgtAcd: Autoregressive Density Model with Skewed Generalized Student-t distribution

Description

Estimation ACD model with fitting and solver control arguments

Usage

acdfit = function(spec, data, solver = "ucminf", out.sample = 0, solver.control = list(),
      fit.control = list(stationarity = 0, fixed.se = 0, scale = 0,n.sim = 2000),
      skew0 = NULL, shape0 = NULL, cluster = NULL, ...)

Arguments

spec:	ACDspec object with model specification
data:	Data
solver:	The chosen solver, which could be "ucminf", "optim", ...and "ms-" version that allows for multi-starts optimization strategies. refers to the documentation of Alexios's racd for more detials
out.sample:	The length of data that will be used as out of sample model evaluation
solver.control:	List of control values for solvers. For examples, we could specify number of restarts that will be used in multi-strarts optimization strategies
fit.control:	List of fitting controls arguments, such as number of simulation to generate starting values of optimization routines
cluster:	An makePSHOCKcluster object to using parallel in model estimation

Value

An ACDfit object which contains information about model estimation

TrungLeVn/SgtAcd documentation built on July 25, 2021, 4:49 a.m.