cogarch.est.incr: Class for Estimation of COGARCH(p,q) model with underlying...

In yuima: The YUIMA Project Package for SDEs

Class for Estimation of COGARCH(p,q) model with underlying increments

Description

The cogarch.est.incr class is a class of the yuima package that extends the cogarch.est-class and is filled by the function gmm or qmle.

Slots

Incr.Lev:

is an object of class zoo that contains the estimated increments of the noise obtained using cogarchNoise.

yuima:

is an object of of yuima-class.

logL.Incr:

is an object of class numeric that contains the value of the log-likelihood for estimated Levy increments.

objFun:

is an object of class character that indicates the objective function used in the minimization problem. See the documentation of the function gmm or qmle for more details.

call:

is an object of class language.

coef:

is an object of class numeric that contains estimated parameters.

fullcoef:

is an object of class numeric that contains estimated and fixed parameters.

vcov:

is an object of class matrix.

min:

is an object of class numeric.

minuslogl:

is an object of class function.

method:

is an object of class character.

Methods

simulate

simulation method. For more information see simulate.

plot

Plot method for estimated increment of the noise.

Methods mle

All methods for mle-class are available.

Author(s)

The YUIMA Project Team

yuima documentation built on Nov. 14, 2022, 3:02 p.m.