mGASRoll {GAS}

Class for the Multivariate GAS Rolling object

Description

Class for the multivariate GAS rolling object.

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).

Info:

list with forecast information.

Data:

list with original data.

Methods

• show signature(object = 'mGASRoll'): Show summary.

• plot signature(x = 'mGASRoll',y = 'missing'): Plot forecasted quantities.

• getForecast signature(object = 'mGASRoll'): Extract parameters forecast.

• getObs signature(object = 'mGASRoll'): Extract original observations.

• getMoments signature(object = 'mGASRoll'): Extract moments forecasts.

• LogScore signature(object = 'mGASRoll'): Extract Log Scores.

• residuals signature(object = 'mGASRoll'): Extract the forecast errors. Also accepts the additional logical argument standardize. If standardize = TRUE, forecast errors are standardized by cholesky of the forecast covariance matrix. By default standardize = FALSE.

• coef signature(object = 'mGASFit'): Returns a matrix of estimated coefficients. Each row of the matrix corresponds to a refit of the model during the forecast period according to the RefitEvery argument provided in the MultiGASRoll function. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list of lists according according to the RefitEvery argument provided in the MultiGASRoll function. Each list is populated by three arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.

Author(s)

Leopoldo Catania