add_lagr.mcgf_rs function

Add lagr model outputted from fit_lagr() to a mcgf_rs object.

## S3 method for class 'mcgf_rs'
add_lagr(x, fit_lagr_ls, ...)

Arguments

• x: An mcgf_rs object.
• fit_lagr_ls: Output from the fit_lagr() function.
• ...: Additional arguments. Not in use.

Returns

x with newly added attributes of the Lagrangian model.

Details

After fitting the Lagrangian model by fit_lagr(), the results can be added to x by add_base(). To supply the Lagrangian model directly, use lagr<- to add the Lagrangian model; the value must contain the same output as add_lagr.mcgf() or add_lagr.mcgf_rs().

Examples

data(sim3)
sim3_mcgf <- mcgf_rs(sim3$data, dists = sim3$dists, label = sim3$label)
sim3_mcgf <- add_acfs(sim3_mcgf, lag_max = 5)
sim3_mcgf <- add_ccfs(sim3_mcgf, lag_max = 5)

# Fit a fully symmetric model with known variables
fit_fs <- fit_base(
    sim3_mcgf,
    lag_ls = 5,
    model_ls = "fs",
    rs = FALSE,
    par_init_ls = list(list(beta = 0)),
    par_fixed_ls = list(list(
        nugget = 0,
        c = 0.05,
        gamma = 0.5,
        a = 0.5,
        alpha = 0.2
    ))
)

# Set beta to 0 to fit a separable model with known variables
fit_fs[[1]]$fit$par <- 0

# Store the fitted separable model to 'sim3_mcgf'
sim3_mcgf <- add_base(sim3_mcgf, fit_base_ls = fit_fs)

# Fit a regime-switching Lagrangian model.
fit_lagr_rs <- fit_lagr(
    sim3_mcgf,
    model_ls = list("lagr_tri"),
    par_init_ls = list(
        list(v1 = -50, v2 = 50),
        list(v1 = 100, v2 = 100)
    ),
    par_fixed_ls = list(list(lambda = 0.2, k = 2))
)

# Store the fitted Lagrangian model to 'sim3_mcgf'
sim3_mcgf <- add_lagr(sim3_mcgf, fit_lagr_ls = fit_lagr_rs)
model(sim3_mcgf)

See Also

Other functions on fitting an mcgf_rs: add_base.mcgf_rs(), fit_base.mcgf_rs(), fit_lagr.mcgf_rs(), krige.mcgf_rs(), krige_new.mcgf_rs()