uGASFit-class function

Class for the univariate GAS fitted object

Class for the univariate GAS fitted object. 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 GAS specification:

    * `Spec`: object of the class uGASSpec containing the GAS specification.
    * `iT`: `numeric` number of observation.
    * `elapsedTime`: `numeric` elapsed Time in seconds.
  

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

• Estimates:: Object of class list. Contains: lParList list of estimated parameters, optimiser object delivered from the optimization function, StaticFit ML estimates for the constant model, Inference

   inferential results for the estimated parameters.
  

• Data:: The user's data.

• Testing:: Statistical tests results.

Methods

• show signature(object = 'uGASFit'): print object information.
• summary signature(object = 'uGASFit'): Show summary.
• plot signature(x = 'uGASFit',y = 'missing'): Plot filtered dynamic and other estimated quantities.
• getFilteredParameters signature(object = 'uGASFit'): Extract filtered parameters.
• getObs signature(object = 'uGASFit'): Extract original observations.
• coef signature(object = 'uGASFit'): Returns a named vector of estimated coefficients. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list with arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.
• pit signature(object = 'uGASFit'): Extract Probability Integral Transformation.
• getMoments signature(object = 'uGASFit'): Extract conditional moments.
• residuals signature(object = 'uGASFit'): Extract the residuals. Also accepts the additional logical argument standardize. If standardize = TRUE, residuals are standardized by the filtered standard deviation. By default standardize = FALSE.
• convergence signature(object = 'uGASFit'): Extract convergence information.
• quantile signature(object = 'uGASSim'): Compute quantiles of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.
• ES signature(object = 'uGASSim'): Compute Expected Shortfall of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

Author(s)

Leopoldo Catania