cogarch.info-class: Class for information about CoGarch(p,q)

In yuima: The YUIMA Project Package for SDEs

Class for information about CoGarch(p,q)

Description

The cogarch.info-class is a class of the yuima package

Slots

p:

Number of autoregressive coefficients in the variance process.

q:

Number of moving average coefficients in the variance process.

ar.par:

Label of autoregressive coefficients.

ma.par:

Label of moving average coefficients.

loc.par:

Label of location coefficient in the variance process.

Cogarch.var:

Label of the observed process.

V.var:

Label of the variance process.

Latent.var:

Label of the latent process in the state representation of the variance.

XinExpr:

Logical variable. If XinExpr=FALSE, the starting condition of Latent.var is zero otherwise each component of Latent.var has a parameter as a starting point.

measure:

Levy measure for jump and quadratic part.

measure.type:

Type specification for Levy measure.

Note

The cogarch.info-class object cannot be directly specified by the user but it is built when the yuima.cogarch-class object is constructed via setCogarch.

Author(s)

The YUIMA Project Team

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