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

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

Author
Enrico 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 publication
2014-10-29 12:26:14
Maintainer
Enrico Bibbona <enrico.bibbona@unito.it>
License
GPL(>= 2)
Version
1.3-1

View on R-Forge

Man pages

as.vector-methods
~~ Methods for Function 'as.vector' in Package 'base' ~~
COGprm
Class For Cogarch Parameters
MMestimation
Parameter estimation by Method of Moments (MM)
moments
Functions to compute the Joint Moments of Cogarch Process
MSPEcontrast
Calculate the contrast function for Minimum Square Prediction...
MSPEcontrast-methods
~~ Methods for Function 'MSPEcontrast' in Package 'COGARCH'...
MSPEestimation
Parameter estimation by Mean Square Prediction Error (MSPE)...
MSPEestimation-methods
~~ Methods for Function 'MSPEestimation' in Package 'COGARCH'...
OPBcontrast
Optimal Prediction Based Contrast
OPBEF
Optimal Prediction Based Estimating Functions (OPBEF)
OPBEF-methods
~~ Methods for Function 'OPBEF' in Package 'COGARCH' ~~
OPBestimation
Parameter estimation by Optimal Prediction Based method
OPBestimation-methods
~~ Methods for Function 'OPBestimation' in Package 'COGARCH'...
PML
Pseudo Maximum Likelihood for Cogarch process
PMLestimation
Parameter estimation by Pseudo Maximum Likelihood (PML)
PMLestimation-methods
~~ Methods for Function 'PMLestimation' in Package 'COGARCH'...
PML-methods
~~ Methods for Function 'PML' in Package 'COGARCH' ~~
rCOGARCH
Simulator function for the COGARCH(1,1) process
setPsi
Laplace esponent of the auxiliary process X
setPsi-methods
~~ Methods for Function 'setPsi' in Package 'COGARCH' ~~
trajectories
Class for sample paths of a Cogarch(1,1) process
varGamma
Class of Variance Gamma increments

Files in this package

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