Man pages for saviviro/gmvarkit
Estimate Gaussian or Student's t Mixture Vector Autoregressive Model

add_dataAdd data to an object of class 'gsmvar' defining a GMVAR,...
all_pos_intsCheck whether all arguments are positive integers
alt_gmvarDEPRECATED! USE THE FUNCTION alt_gsmvar INSTEAD! Construct a...
alt_gsmvarConstruct a GMVAR, StMVAR, or G-StMVAR model based on results...
calc_gradientCalculate gradient or Hessian matrix
change_parametrizationChange parametrization of a parameter vector
change_regimeChange regime parameters *upsilon_{m}* =...
check_constraintsCheck the constraint matrix has the correct form
check_dataCheck the data is in the correct form
check_gsmvarChecks whether the given object has class attribute 'gsmvar'
check_null_dataChecks whether the given object contains data
check_parametersCheck that the given parameter vector satisfies the model...
check_pMdCheck that p, M, and d are correctly set
check_same_meansCheck whether the parametrization is correct for usage of...
cond_moment_plotConditional mean or variance plot for a GMVAR, StMVAR, or...
cond_momentsCompute conditional moments of a GMVAR, StMVAR, or G-StMVAR...
diagnostic_plotQuantile residual diagnostic plot for a GMVAR, StMVAR, or...
diag_OmegasSimultaneously diagonalize two covariance matrices
dlogmultinormCalculate logarithms of multiple multivariate normal...
dlogmultistudentCalculate logarithms of multiple multivariate Student's t...
fitGMVARDEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Two-phase...
fitGSMVARTwo-phase maximum likelihood estimation of a GMVAR, StMVAR,...
format_valuefFunction factory for value formatting
form_boldAForm the ((dp)x(dp)) "bold A" matrices related to the VAR...
GAfitGenetic algorithm for preliminary estimation of a GMVAR,...
gdpdefU.S. real GDP percent change and GDP implicit price deflator...
get_alpha_mtGet mixing weights alpha_mt (this function is for internal...
get_boldA_eigensCalculate absolute values of the eigenvalues of the "bold A"...
get_ICCalculate AIC, HQIC, and BIC
get_minvalReturns the default smallest allowed log-likelihood for given...
get_omega_eigensCalculate the eigenvalues of the "Omega" error term...
get_regime_autocovsCalculate regimewise autocovariance matrices
get_regime_autocovs_intCalculate regimewise autocovariance matrices
get_regime_meansCalculate regime means mu_{m}
get_regime_means_intCalculate regime means mu_{m}
get_SigmasCalculate the dp-dimensional covariance matrices Sigma_{m,p}...
get_test_OmegaCompute covariance matrix Omega used in quantile residual...
get_unconstrained_structural_parsGet structural parameters that indicate there are no...
get_varying_hGet differences 'h' which are adjusted for overly large...
GFEVDEstimate generalized forecast error variance decomposition...
GIRFEstimate generalized impulse response function for a...
GMVARDEPRECATED! USE THE FUNCTION GSMVAR INSTEAD! Create a class...
gmvarkitgmvarkit: Estimate Gaussian Mixture Vector Autoregressive,...
gmvar_to_gsmvarMakes class 'gmvar' objects compatible with the functions...
gmvar_to_sgmvarDEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Switch from...
GSMVARCreate a class 'gsmvar' object defining a reduced form or...
gsmvar_to_sgsmvarSwitch from two-regime reduced form GMVAR, StMVAR, or...
in_paramspaceDetermine whether the parameter vector lies in the parameter...
in_paramspace_intDetermine whether the parameter vector lies in the parameter...
is_stationaryCheck the stationary condition of a given GMVAR, StMVAR, or...
iterate_moreMaximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR...
loglikelihoodCompute log-likelihood of a GMVAR, StMVAR, or G-StMVAR model...
loglikelihood_intCompute log-likelihood of a GMVAR, StMVAR, and G-StMVAR...
LR_testPerform likelihood ratio test for a GMVAR, StMVAR, or...
n_paramsCalculate the number of parameters in a GMVAR, StMVAR, or...
pick_allAPick coefficient all matrices
pick_all_phi0_APick all phi_{m,0} or mu_{m} and A_{m,1},...,A_{m,p}...
pick_alphasPick mixing weight parameters alpha_{m}, m=1,...,M
pick_AmPick coefficient matrices
pick_AmiPick coefficient matrix
pick_dfPick the degrees of freedom parameters...
pick_lambdasPick the structural parameters eigenvalue 'lambdas'
pick_OmegasPick covariance matrices
pick_phi0Pick phi_{m,0} or mu_{m}, m=1,..,M vectors
pick_regimePick regime parameters *upsilon_{m}* =...
pick_WPick the structural parameter matrix W
plot.gmvarpredplot method for class 'gmvarpred' objects
plot.gsmvarpredplot method for class 'gsmvarpred' objects
predict.gmvarDEPRECATED! USE THE FUNCTION predict.gsmvar INSTEAD! Predict...
predict.gsmvarPredict method for class 'gsmvar' objects
print.gmvarDeprecated S3 methods for the deprecated class 'gmvar'
print.gmvarsumSummary print method from objects of class 'gmvarsum'
print.gsmvarpredPrint method for class 'gsmvarpred' objects
print.gsmvarsumSummary print method from objects of class 'gsmvarsum'
print_std_errorsPrint standard errors of a GMVAR, StMVAR, or G-StMVAR model...
profile_logliksPlot profile log-likehoods around the estimates
quantile_residualsCalculate multivariate quantile residuals of a GMVAR, StMVAR,...
quantile_residuals_intCalculate multivariate quantile residuals of GMVAR, StMVAR,...
quantile_residual_testsQuantile residual tests
random_coefmatsCreate random VAR-model (dxd) coefficient matrices A.
random_coefmats2Create random stationary VAR model (dxd) coefficient matrices...
random_covmatCreate random VAR model error term covariance matrix
random_dfCreate random degrees of freedom parameter values
random_indCreate random mean-parametrized parameter vector of a GMVAR,...
random_ind2Create somewhat random parameter vector of a GMVAR, StMVAR,...
redecompose_OmegasIn the decomposition of the covariance matrices (Muirhead,...
reform_constrained_parsReform constrained parameter vector into the "standard" form
reform_dataReform data
reform_structural_parsReform structural parameter vector into the "standard" form
regime_distanceCalculate "distance" between two (scaled) regimes...
reorder_W_columnsReorder columns of the W-matrix and lambda parameters of a...
simulateGMVARDEPRECATED! USE THE FUNCTION simulate.gsmvar INSTEAD!...
simulate.gsmvarSimulate method for class 'gsmvar' objects
smart_covmatCreate random VAR-model (dxd) error term covariance matrix...
smart_dfCreate random degrees of freedom parameter values close to...
smart_indCreate random parameter vector of a GMVAR, StMVAR, or...
sort_and_standardize_alphasSort mixing weight parameters in a decreasing order and...
sort_componentsSort components in parameter vector according to mixing...
sort_W_and_lambdasSort the columns of W matrix by sorting the lambda parameters...
standard_errorsCalculate standard errors for estimates of a GMVAR, StMVAR,...
stmvarpars_to_gstmvarTransform a StMVAR (or G-StMVAR) model parameter vector to...
stmvar_to_gstmvarEstimate a G-StMVAR model based on a StMVAR model that has...
swap_parametrizationSwap the parametrization of a GMVAR, StMVAR, or G-StMVAR...
swap_W_signsSwap all signs in pointed columns a the W matrix of a...
uncond_momentsCalculate the unconditional mean, variance, the first p...
uncond_moments_intCalculate the unconditional mean, variance, the first p...
unvecReverse vectorization operator
unvechReverse operator of the parsimonious vectorization operator...
unWvecReverse vectorization operator that restores zeros
update_numtolsUpdate the stationarity and positive definiteness numerical...
VAR_pcovmatCalculate the dp-dimensional covariance matrix of p...
vecVectorization operator
vechParsimonious vectorization operator for symmetric matrices
Wald_testPerform Wald test for a GMVAR, StMVAR, or G-StMVAR model
warn_dfWarn about large degrees of freedom parameter values
warn_eigensWarn about near-unit-roots in some regimes
WvecVectorization operator that removes zeros
saviviro/gmvarkit documentation built on Oct. 25, 2021, 2:14 a.m.