ACDfilter-class: class: ACD Filter Class

In racd: Autoregressive Conditional Density Models

Description

Object holding the details of the ACD filter.

Objects from the Class

Objects can be created by calling the acdfilter function.

Slots

filter:

Object of class "vector" filtered model.

model:

Object of class "vector" model details.

Extends

Class "rACD", directly.

Methods

coef

signature(object = "ACDfilter"): estimated coefficients.

likelihood

signature(object = "ACDfilter"): log-likelihood of the ACD model.

show

signature(object = "ACDfilter"): summary method.

plot

signature(x = "ACDfilter", y = "missing"): plots.

fitted

signature(object = "ACDfilter"): conditional mean.

residuals

signature(object = "ACDfilter"): model residuals (with logical option standardize set to FALSE as default).

sigma

signature(object = "ACDfilter"): conditional sigma.

skew

signature(object = "ACDfilter"): conditional skew. Takes optional argument ‘transform’ (default TRUE) which indicates whether to return the transformed value (logistic transformation).

shape

signature(object = "ACDfilter"): conditional shape. Takes optional argument ‘transform’ (default TRUE) which indicates whether to return the transformed value (exponential transformation).

skewness

signature(object = "ACDfilter"): conditional skewness.

kurtosis

signature(object = "ACDfilter"): conditional excess kurtosis.

quantile

signature(x = "ACDfilter"): the conditional quantiles given a vector of probabilities.

pit

signature(x = "ACDfilter"): the probability integral transform of the data given the conditional density.

Author(s)

Alexios Ghalanos

racd documentation built on May 2, 2019, 4:47 p.m.