COGARCH: Simulation and inferenc for COGARCH(1,1) processes
Version 1.3-1

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
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("COGARCH", repos="http://R-Forge.R-project.org")

Popular man pages

MMestimation: Parameter estimation by Method of Moments (MM)
moments: Functions to compute the Joint Moments of Cogarch Process
MSPEestimation-methods: ~~ Methods for Function 'MSPEestimation' in Package 'COGARCH'...
OPBEF: Optimal Prediction Based Estimating Functions (OPBEF)
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
See all...

All man pages Function index File listing

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

Functions

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
COGARCH documentation built on May 21, 2017, 1:30 a.m.

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

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.