Description Usage Arguments Details Value
Functions for evaluating fit of models estimated on divergence data
1 2 3 4 5 6 7 8 9 10 11 | evaluation_fittedPrices(par.vec, model_Likelihood = model_Likelihood,
par.list = NULL, data.structure, model.spec,
filterFoo = DSQ_sqrtFilter,
handlerFoo = affineObservationStateHandler, N.points = 5)
evaluation_plotting(par.vec, model_Likelihood = model_Likelihood,
par.list = NULL, data.structure, model.spec,
filterFoo = DSQ_sqrtFilter,
handlerFoo = affineObservationStateHandler, N.points = 5, plot.path)
evaluation_VCOVsandwich()
|
data.structure |
|
model.spec |
|
evaluation_plotting
plots the following: (1) time series of filtered factor values, (2) time series of fitted and observed swap rates, (3) Q-Q plots of filtered factors and bootstrap sample from the estimated model factors, (4) autocorrelation functions of pricing errors, (5)
evaluation_fittedPrices
returns a list with fields obs
(the observed returns and swap prices) and fit
(the predicted returns and fitted swap prices.)
evaluation_plotting
does not return.
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