mGASSim-class function

Class for Multivariate GAS Simulation

Class for multivariate GAS model simulation. 0.1

class

Objects from the Class

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

Slots

• ModelInfo:: Object of class list. Contains information about the multivariate GAS specification:

    * iT: `numeric` Time length of simulated observations.
    * iN: `numeric` Cross sectional dimension.
    * iK : `numeric` number of (possibly) time--varying parameters implied by the distributional assumption.
    * vKappa `numeric` vector of unconditional level for the reparametrized vector of parameters.
    * mA `matrix` of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.
    * mB `matrix` of autoregressive coefficients of dimension iK x iK.
    * Dist `character` label of the conditional distribution, see DistInfo
    * ScalingType `character` representing the scaling mechanism for the conditional score, see DistInfo
  

• GASDyn:: Object of class list. Contains: the series of simulated parameters (GASDyn$mTheta), the series of scaled scores (GASDyn$mInnovation), the series of unrestricted simulated parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the log likelihood evaluated at its optimum value (GASDyn$dLLK)

• Data:: Object of class matrix. Matrix of dimension iN x iT of simulated data

Methods

• show signature(object = 'mGASSim'): Show summary.
• plot signature(x = 'mGASSim',y = 'missing'): Plot simulated data and parameters.
• getFilteredParameters signature(object = 'mGASSim'): Extract simulated parameters.
• getObs signature(object = 'mGASSim'): Extract simulated observations
• coef signature(object = 'mGASSim'): Extract delivered coefficients
• getMoments signature(object = 'uGASFor'): Extract simulated moments.

Author(s)

Leopoldo Catania