UpdateDMQ {DMQ} | R Documentation |
Update filtered quantiles
Description
Filter dynamic quantiles using an estimated model and an updated dataset.
Usage
UpdateDMQ(Fit, vY)
Arguments
Fit |
The output of the function EstimateDMQ. |
vY |
|
Details
The function can be used to compute a sequence of one-step-ahead rolling predictions, without updating the parameters of the model, see Examples.
Value
An output like the one of EstimateDMQ with updated quantile estimated.
Author(s)
Leopoldo Catania
Examples
# Load Microsoft Corporation logarithmic percentage returns from December 8,
# 2010 to November 15, 2018 for a total of T = 2000 observation
data("MSFT")
# Divide the sample in two equal parts
vY_is = vY[1:1000]
##############################################################
######################## Estimate DMQ ########################
##############################################################
# Estimate DMQ over the deciles on the in sample period
Fit = EstimateDMQ(vY = vY_is,
vTau = seq(0.1, 0.9, 0.1),
iTau_star = 5,
FixReference = TRUE,
fn.optimizer = fn.solnp)
# compute a sequence of one-step-ahead rolling predictions over the out of sample
Roll = UpdateDMQ(Fit, vY)
# one steap ahead predictions from time t = 1001 to 2001 are
mForecast = t(Roll$lFilter$mQ)[1001:2001, ]
[Package DMQ version 0.1.2 Index]