meanSet: Set model conditional mean

In RRegArch: General univariate ARCH models simulation and estimation

Description

This function returns a condMeanClass object describing the conditional mean of the model.

Usage

    meanSet(CONST=0)
    meanSet(AR=c(0))
    meanSet(nAR=1)
    meanSet(MA=c(0))
    meanSet(STDINMEAN=0)
    meanSet(VARINMEAN=0)
    meanSet(LINREG=list(Beta=c(0), X=matrix(0,1,1)))
    meanSet(CONST=0, AR=c(0))
    ...
   ## S3 method for class 'condMeanClass'
print(x, ...)

Arguments

AR	A vector of autoregressive coefficients.
nAR	Number of AR lags.
MA	A vector of moving average coefficients.
nMA	Number of MA lags.
CONST	A double, value of the constant part of the conditional mean
STDINMEAN	A double, value of the standard deviation in mean coefficient
VARINMEAN	A double, value of the variance in mean coefficient
LINREG	a list with Beta : a vector of regression coefficients and X the matrix of independent variables.

Value

a condMeanClass object which is the list of all parts of the conditional mean

Examples

    # AR2 model with constant
    mm1 <- meanSet(AR=c(0.1,0.2), CONST=2.0)
    
    # Var in mean model + MA(3) model 
    mm2 <- meanSet(VARINMEAN=1.0, nMA=3)
    
    # Linear regression model
    X <- matrix(seq(1,20), ncol=2)
    Beta <- c(1, 2)
    mm3 <- meanSet(LINREG=list(Beta=Beta, X=X))
 

RRegArch documentation built on May 2, 2019, 4:59 p.m.