ARFIMAfilter-class: class: ARFIMA Filter Class

In rgarch: Flexible GARCH modelling in R

Description

Class for the ARFIMA filter.

Slots

filter:

Object of class "vector"

model:

Object of class "vector"

Extends

Class "ARFIMA", directly. Class "rGARCH", by class "ARFIMA", distance 2.

Methods

as.data.frame

signature(x = "ARFIMAfilter"): extracts the position (dates), data, filtered values and residuals.

coef

signature(object = "ARFIMAfilter"): extracts the coefficients.

fitted

signature(object = "ARFIMAfilter"): extracts the filtered values.

infocriteria

signature(object = "ARFIMAfilter"): calculates and returns various information criteria.

likelihood

signature(object = "ARFIMAfilter"): extracts the likelihood.

residuals

signature(object = "ARFIMAfilter"): extracts the residuals.

show

signature(object = "ARFIMAfilter"): filter summary.

uncmean

signature(object = "ARFIMAfilter"): calculates and returns the unconditional mean.

Author(s)

Alexios Ghalanos

Examples

showClass("ARFIMAfilter")

rgarch documentation built on May 2, 2019, 5:22 p.m.