COGARCH: Simulation and inferenc for COGARCH(1,1) processes

Simulation and parameters estimation for COGARCH(1,1) processes with different methods

AuthorEnrico Bibbona <enrico.bibbona@unito.it> and Ilia Negri <ilia.negri@unibg.it> and Alberto Arcagni <alberto.arcagni@unimib.it> and Lorenzo Mercuri <lorenzo.mercuri@unimi.it>
Date of publication2014-10-29 12:26:14
MaintainerEnrico Bibbona <enrico.bibbona@unito.it>
LicenseGPL(>= 2)
Version1.3-1

View on R-Forge

Functions

as.vector,ANY-method Man page
as.vector,COGprm-method Man page
as.vector-methods Man page
COGprm Man page
COGprm-class Man page
EG2 Man page
EG2G2 Man page
EG2G2G2 Man page
EG2G2G2G2 Man page
EG2G2G4 Man page
EG2G4 Man page
EG2G4G2 Man page
EG2G6 Man page
EG4 Man page
EG4G2 Man page
EG4G2G2 Man page
EG4G4 Man page
EG6 Man page
EG6G2 Man page
EG8 Man page
MMestimation Man page
MSPEcontrast Man page
MSPEcontrast,COGprm,vector,numeric,numeric-method Man page
MSPEcontrast-methods Man page
MSPEcontrast,vector,vector,numeric,numeric-method Man page
MSPEestimation Man page
MSPEestimation,COGprm-method Man page
MSPEestimation-methods Man page
MSPEestimation,vector-method Man page
OPBcontrast Man page
OPBEF Man page
OPBEF,COGprm,vector,numeric,numeric-method Man page
OPBEF-methods Man page
OPBEF,vector,vector,numeric,numeric-method Man page
OPBestimation Man page
OPBestimation,COGprm-method Man page
OPBestimation-methods Man page
OPBestimation,vector-method Man page
PML Man page
PML,COGprm,vector,numeric-method Man page
PMLestimation Man page
PMLestimation,COGprm-method Man page
PMLestimation-methods Man page
PMLestimation,vector-method Man page
PML-methods Man page
PML,vector,vector,numeric-method Man page
rCOGARCH Man page
rCOGARCH,COGprm,function,numeric,numeric,numeric,numeric,numeric Man page
rCOGARCH,COGprm,varGamma,numeric,numeric,numeric,numeric,numeric Man page
setPsi Man page
setPsi,COGprm,varGamma-method Man page
setPsi-methods Man page
trajectories Man page
trajectories-class Man page
varGamma Man page
varGamma-class Man page

Files

CodeGenerator.nb
DESCRIPTION
NAMESPACE
R
R/COGprm.R R/MMestimation.R R/MSPE.R R/OPBE.R R/PML.R R/as_vector.R R/cfunctions.R
R/generatedCode
R/generatedCode/standaloneMoments.R R/rCOGARCH.R R/rComPoisson.R R/rLatentCOGARCH.R R/setPsi.R R/shock.R R/shrinker.R R/standaloneMoments.R R/trajectories.R R/varGamma.R
cases
cases/m0SumsSimplified
cases/m0SumsSimplifiedAgainWithRepl
cases/m0mom6A_cases
cases/m0mom6B_cases
cases/m0mom8_cases
cases/minfBodyMom4
cases/minfBodyMom6A
cases/minfBodyMom6B
cases/minfBodyMom8
cases/minfSumsReduced
cases/minfSumsSimplified
cases/mnBodyMom4
cases/mnBodyMom6A
cases/mnBodyMom6B
cases/mnBodyMom8
cases/mnSumsReduced
cases/mnSumsSimplified
cases/mnSumsSimplifiedAgainWithRepl
man
man/COGprm.Rd man/MMestimation.Rd man/MSPEcontrast-methods.Rd man/MSPEcontrast.Rd man/MSPEestimation-methods.Rd man/MSPEestimation.Rd man/OPBEF-methods.Rd man/OPBEF.Rd man/OPBcontrast.Rd man/OPBestimation-methods.Rd man/OPBestimation.Rd man/PML-methods.Rd man/PML.Rd man/PMLestimation-methods.Rd man/PMLestimation.Rd man/as.vector-methods.Rd man/moments.Rd man/rCOGARCH.Rd man/setPsi-methods.Rd man/setPsi.Rd man/trajectories.Rd man/varGamma.Rd
moments
moments/Coefficients
moments/Coefficients/moments2
moments/Coefficients/moments4
moments/Coefficients/moments6
moments/Coefficients/moments8
moments/EGS
moments/EGS/EG0S2
moments/EGS/EG0S4
moments/EGS/EG0S6
moments/EGS/EG0S8
moments/EGS/EG2S0
moments/EGS/EG2S2
moments/EGS/EG2S4
moments/EGS/EG2S6
moments/EGS/EG4S0
moments/EGS/EG4S2
moments/EGS/EG4S4
moments/EGS/EG6S0
moments/EGS/EG6S2
moments/EGS/EG8S0
moments/J
moments/J/J100
moments/J/J101
moments/J/J110
moments/J/J111
moments/J/J200
moments/J/J201
moments/J/J202
moments/J/J210
moments/J/J211
moments/J/J212
moments/J/J220
moments/J/J221
moments/J/J222
moments/J/J300
moments/J/J301
moments/J/J302
moments/J/J303
moments/J/J310
moments/J/J311
moments/J/J312
moments/J/J313
moments/J/J320
moments/J/J321
moments/J/J322
moments/J/J323
moments/J/J330
moments/J/J331
moments/J/J332
moments/J/J333
moments/JM
moments/JM/EG2G2
moments/JM/EG2G2G2
moments/JM/EG2G2G2G2
moments/JM/EG2G2G4
moments/JM/EG2G4
moments/JM/EG2G4G2
moments/JM/EG2G6
moments/JM/EG4G2
moments/JM/EG4G2G2
moments/JM/EG4G4
moments/JM/EG6G2
src
src/Makevars
src/common.c
src/common.h
src/computeMcases.c
src/computeMloop.c
src/generatedCode
src/generatedCode/casesM0.c
src/generatedCode/casesMN.c
src/generatedCode/coefficientFunctions.c
src/generatedCode/coefficientFunctions.h
src/generatedCode/coefficientsAsArray.h
src/generatedCode/coefficientsAsArray.part.c
src/generatedCode/coefficientsAsVariables.part.c
src/generatedCode/moments4cases.part.c
src/generatedCode/moments6cases.part.c
src/generatedCode/moments8cases.part.c
src/generatedCode/standaloneMoments.c
src/generatedCode/standaloneMoments.h

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