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

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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