mGASFor-class function

Class for the Multivariate GAS Forecast object

Class for the multivariate GAS forecast object. 0.1

class

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

• Forecast:: Object of class list. Contains forecasts:

    * `PointForecast`: `matrix` with parameters forecasts.
    * `Moments`: `list` with centered moments forecasts. The first element contains a `matrix` with the predicted conditional means. The second element contains an `array` with the predicted conditional covariances.
    * `vLS`: `numeric` Log Score (Predictive Log Likelihood).
  

• Bands:: array with confidence bands parameters forecasts. Available only if Roll = TRUE.

• Draws:: If ReturnsDraws = TRUE it is a iH x iB matrix of draws from the predictive distribution.

• Info:: list with forecast information.

• Data:: list with original data.

Methods

• show signature(object = "uGASFor"): Show summary.
• plot signature(x='uGASFor',y='missing'): Plot forecasted quantities.
• getForecast signature(object = "uGASFor"): Extract parameters forecast.
• getObs signature(object = "uGASFor"): Extract original observations.
• getMoments signature(object = "uGASFor"): Extract moments forecasts.
• LogScore signature(object = "uGASFor"): Extract Log Scores.

Author(s)

Leopoldo Catania