tsModel-class: Class for a Parametric Time-Series Model

Description Slots

Description

tsModel is a class to contain parametric time-series models (like ARMA oder GARCH) so that they can be used as arguments for qpBoot. There are some premade Models

Slots

name

the name of the model (e.g. "GARCH")

spec

a list containing additional specification of the model

env

An environment to allow for slots which need to be accessable in a call-by-reference manner:

est_function

a function implementing an estimator for the parameters of the model. It has the argumens object and data and returns the estimated parameter. Also it sets par to the estimated value.

sim_function

a function implementing a way to simulate from the the model. It has the argumens object and n. Note that par has to be set in order to simulate.

par

a numeric vector that contains the parameters of the model. Can be empty at the beginning.


stefanbirr/QPBoot documentation built on May 30, 2019, 10:43 a.m.